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provides R codes and RMarkdown files for all the experiments in the paper "State-Space Models on Stiefel Manifold with A New Approach to Nonlinear Filtering". The codes and the corresponding RMarkdown were written in November 2018. Notice that you will have to install the package "SMFilter" before running the RMarkdown code. The package can be found SMFilter@CRAN or on my GitHub https://github.com/yukai-yang/SMFilter
Stiefel manifold, cointegration, smoothing, Laplace method, dynamic factor model, filtering, state-space models, matrix Langevin distribution
Stiefel manifold, cointegration, smoothing, Laplace method, dynamic factor model, filtering, state-space models, matrix Langevin distribution
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