A tractable state-space model for symmetric positive-definite matrices (Q899053)
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scientific article
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| English | A tractable state-space model for symmetric positive-definite matrices |
scientific article |
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A tractable state-space model for symmetric positive-definite matrices (English)
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21 December 2015
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backward sample
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forward filter
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realized covariance
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stochastic volatility
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0.7428531050682068
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0.7376735210418701
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0.7306426763534546
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0.7036760449409485
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0.70337975025177
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