A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices

14 Pages Posted: 9 Dec 2014

See all articles by Roberto Casarin

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Date Written: December 5, 2014

Abstract

This article discusses Windle and Carvalho's (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the proposed model to financial data with a view to shedding light on some modeling issues.

Keywords: Exponential Smoothing, Positive-Valued Processes, State-Space Models, Stochastic Volatility

JEL Classification: C11, C18, C22, C53

Suggested Citation

Casarin, Roberto, A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices (December 5, 2014). Ca' Foscari University of Venice Department of Economics Working Paper No. 23/WP/2014, Available at SSRN: https://ssrn.com/abstract=2535282 or http://dx.doi.org/10.2139/ssrn.2535282

Roberto Casarin (Contact Author)

University Ca' Foscari of Venice - Department of Economics ( email )

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Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

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