EconPapers    
Economics at your fingertips  
 

Non-Euclidean Conditional Expectation and Filtering

Anastasis Kratsios and Cody B. Hyndman

Papers from arXiv.org

Abstract: A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. This gives computationally tractable filtering equations for the dynamics of the intrinsic conditional expectation of a manifold-valued signal and is used to obtain accurate numerical forecasts of efficient portfolios by incorporating their geometric structure into the estimates.

New Economics Papers: this item is included in nep-big, nep-cmp and nep-ecm
Date: 2017-10, Revised 2018-09
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1710.05829 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.05829

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-09-07
Handle: RePEc:arx:papers:1710.05829