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• W2904858145 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." @default.
• W2904858145 created "2018-12-22" @default.
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• W2904858145 date "2018-12-12" @default.
• W2904858145 modified "2023-09-23" @default.
• W2904858145 title "State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering" @default.
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• W2904858145 doi "https://doi.org/10.3390/econometrics6040048" @default.
• W2904858145 hasPublicationYear "2018" @default.
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