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State space models on special manifolds

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  • Chikuse, Yasuko
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    Abstract

    This paper concerns modeling time series observations in state space forms considered on the Stiefel and Grassmann manifolds. We develop a state space model relating the time series observations to a sequence of unobserved state or parameter matrices assuming the matrix Langevin noise processes on the Stiefel manifolds. We show a Bayes method for estimating the state matrices by the posterior modes. We consider a further extended state space model where two sequences of unobserved state matrices are involved. A simple state space model on the Grassmann manifolds with matrix Langevin noise processes is also investigated.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 97 (2006)
    Issue (Month): 6 (July)
    Pages: 1284-1294

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    Handle: RePEc:eee:jmvana:v:97:y:2006:i:6:p:1284-1294

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    Related research

    Keywords: State space model Stiefel manifold Grassmann manifold Matrix Langevin distributions Posterior mode estimation Iterative method;

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