State space models on special manifolds
AbstractThis 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 InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 97 (2006)
Issue (Month): 6 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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