Bayesian Analysis

Comment on Article by Windle and Carvalho

Roberto Casarin

Full-text: Open access

Abstract

This article discusses Windle and Carvalho’s (2014) state-space model for observations and latent variables in the space of positive symmetric matrices. The present discussion focuses on the model specification and on the contribution to the positive-value time series literature. I apply the proposed model to financial data with a view to shedding light on some modeling issues.

Article information

Source
Bayesian Anal., Volume 9, Number 4 (2014), 793-804.

Dates
First available in Project Euclid: 21 November 2014

Permanent link to this document
https://projecteuclid.org/euclid.ba/1416579177

Digital Object Identifier
doi:10.1214/14-BA918

Mathematical Reviews number (MathSciNet)
MR3293954

Zentralblatt MATH identifier
1327.62134

Keywords
Exponential Smoothing Positive-Valued Processes State-Space Models Stochastic Volatility

Citation

Casarin, Roberto. Comment on Article by Windle and Carvalho. Bayesian Anal. 9 (2014), no. 4, 793--804. doi:10.1214/14-BA918. https://projecteuclid.org/euclid.ba/1416579177


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References

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See also

  • Related item: Jesse Windle and Carlos M. Carvalho. A Tractable State-Space Model for Symmetric Positive-Deffinite Matrices. Bayesian Anal., Vol. 9, Iss. 4 (2014) 759–792.