图灵讲坛(第30期):State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering

发布时间:2019-01-10  阅读次数:1726

活动时间:2019-1-17 14:00 - 15:00pm
活动地点:济事楼 417

 

State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering

 

 

杨遇凯 高级讲师
 瑞典乌普萨拉大学

 

邀请人:张林 副教授


Abstract:

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the parameters of cointegrating relations in vector error-correction models. The corresponding nonlinear filtering algorithms are developed and evaluated by means of simulation experiments.
 

Bio:

Dr. Yang received his PhD degree in 2012 at CREATES, Department of Economics and Business, Aarhus University, Denmark, with the thesis "Modelling Nonlinear Vector Economic Time Series". He also holds a Cand. Polit. from Department of Economics, University of Copenhagen, Denmark, and a B.Eng. in Computer Science and Technology from Shanghai Jiao Tong University, China. He is currently working as a Senior Lecturer at the Department of Statistics, Uppsala University. His research interests include smooth transition models, state-space models, macroeconometrics, financial econometrics, high-dimensional analysis, cointegration, long memory, panel data analysis, directional statistics, Bayesian, MCMC and related computational methods.

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