A Note on Tractable State-Space Model for Symmetric Positive-Definite Matrices
14 Pages Posted: 9 Dec 2014
Date Written: December 5, 2014
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: Suggested Citation