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

Yukai Yang and Luc Bauwens

Econometrics, 2018, vol. 6, issue 4, 1-22

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: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: 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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