Comment on article by Windle and Carvalho

DOI10.1214/14-BA918zbMATH Open1327.62134MaRDI QIDQ899054FDOQ899054

Roberto Casarin

Publication date: 21 December 2015

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

Full work available at URL: https://projecteuclid.org/euclid.ba/1416579177

Recommendations

• A tractable state-space model for symmetric positive-definite matrices
• Comment on article by Windle and Carvalho
• A flexible state space model and its applications
• State space models on special manifolds
• Parameter Space Restrictions in State Space Models

zbMATH Keywords

state-space modelsstochastic volatilityexponential smoothingpositive-valued processes

Mathematics Subject Classification ID

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

Cites Work

• Generalised density forecast combinations
• Bayesian forecasting and dynamic models.
• Optimal prediction pools
• Forecasting with exponential smoothing. The state space approach
• Title not available (Why is that?)
• Dynamic matrix-variate graphical models
• Bayesian portfolio selection with multi-variate random variance models
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• Title not available (Why is that?)
• Bayesian Vector Autoregressions with Stochastic Volatility
• Bayesian analysis of matrix normal graphical models
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Title not available (Why is that?)
• A tractable state-space model for symmetric positive-definite matrices

Cited In (4)

• Supergraph calculation of one-loop divergences in higher-derivative \(6D\) SYM theory
• One-loop \({\beta}\)-functions in 4-derivative gauge theory in 6 dimensions
• On the Relationship between Uhlig Extended and beta‐Bartlett Processes
• Comment on article by Windle and Carvalho

Uses Software

• expsmooth

This page was built for publication: Comment on article by Windle and Carvalho

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q899054)