A tractable state-space model for symmetric positive-definite matrices

DOI10.1214/14-BA888zbMath1327.62170arXiv1310.5951OpenAlexW1977776321MaRDI QIDQ899053

Jesse Windle, Carlos Marinho Carvalho

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.5951

zbMATH Keywords

stochastic volatilityrealized covariancebackward sampleforward filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Positive matrices and their generalizations; cones of matrices (15B48)

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