Rejoinder: ``A tractable state-space model for symmetric positive-definite matrices

DOI10.1214/14-BA923zbMath1327.62171OpenAlexW4245974520MaRDI QIDQ899055

Jesse Windle, Carlos Marinho Carvalho

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1416579180

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Positive matrices and their generalizations; cones of matrices (15B48)

Cites Work

• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Realized kernels in practice: trades and quotes
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