%0 Journal Article
%T State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
%A Luc Bauwens
%A Yukai Yang
%J -
%D 2018
%R https://doi.org/10.3390/econometrics6040048
%X Abstract 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. View Full-Tex
%K state-space models
%K Stiefel manifold
%K matrix Langevin distribution
%K filtering
%K smoothing
%K Laplace method
%K dynamic factor model
%K cointegration
%U https://www.mdpi.com/2225-1146/6/4/48