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Comment on article by Windle and Carvalho. (English) Zbl 1327.62134
Summary: This article discusses J. Windle and C.-M. Carvalho’s [ibid. 9, No. 4, 759-792 (2014; Zbl 1327.62170)] 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.

MSC:
62F15 Bayesian inference
15B48 Positive matrices and their generalizations; cones of matrices
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
Software:
expsmooth
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References:
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