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.
Citation
Roberto Casarin. "Comment on Article by Windle and Carvalho." Bayesian Anal. 9 (4) 793 - 804, December 2014. https://doi.org/10.1214/14-BA918
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