State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering

Yukai Yang and Luc Bauwens

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the parameters of cointegrating relations in vector error-correction models. The corresponding nonlinear filtering algorithms are developed and evaluated by means of simulation experiments.

Keywords: State-space models; Stiefel manifold; matrix Langevin distribution; filtering; smoothing; Laplace method; dynamic factor model; cointegration (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Pages: 31
Date: 2018-11-24
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering (2018)
Working Paper: State-space models on the Stiefel Manifold with a new approach to nonlinear filtering (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2018-30

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