State space models on special manifolds

Yasuko Chikuse

Journal of Multivariate Analysis, 2006, vol. 97, issue 6, 1284-1294

Abstract: This paper concerns modeling time series observations in state space forms considered on the Stiefel and Grassmann manifolds. We develop a state space model relating the time series observations to a sequence of unobserved state or parameter matrices assuming the matrix Langevin noise processes on the Stiefel manifolds. We show a Bayes method for estimating the state matrices by the posterior modes. We consider a further extended state space model where two sequences of unobserved state matrices are involved. A simple state space model on the Grassmann manifolds with matrix Langevin noise processes is also investigated.

Keywords: State; space; model; Stiefel; manifold; Grassmann; manifold; Matrix; Langevin; distributions; Posterior; mode; estimation; Iterative; method (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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