Rejoinder: ``A tractable state-space model for symmetric positive-definite matrices

DOI10.1214/14-BA923zbMATH Open1327.62171OpenAlexW4245974520MaRDI QIDQ899055FDOQ899055

Authors Jesse Windle, Carlos M. Carvalho

Publication date 21 December 2015

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1416579180

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields; image analysis (62M40) Positive matrices and their generalizations; cones of matrices (15B48)

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 4096587 (Why is no real title available?)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Realized kernels in practise : trades and quotes

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