Department of Economics and Business Economics

State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering

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    Yukai Yang, Uppsala University, SwedenLuc Bauwens, Center for Operations Research and Econometrics (CORE), Université catholique de Louvain, Belgium
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.
Original languageEnglish
Place of publicationAarhus
PublisherCREATES, Institut for Økonomi, Aarhus Universitet
Number of pages31
Publication statusPublished - 3 Dec 2018
SeriesCREATES Research Papers
Number2018-30

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