Kalman Filtering with Random Coefficients and Contractions

Bougerol, Philippe

doi:10.1137/0331041

Cited by 213 publications

(313 citation statements)

References 22 publications

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“…In particular, following Bougerol (1993), we find that under appropriate regularity conditions, the process {X t } is strictly stationary and ergodic (SE).…”

Section: Appendix B Reduced Form Stationarity and Ergodicitymentioning

confidence: 99%

See 1 more Smart Citation

A dynamic network model of the unsecured interbank lending market

Blasques

Bräuning

Lelyveld

2018

Journal of Economic Dynamics and Control

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“…In particular, following Bougerol (1993), we find that under appropriate regularity conditions, the process {X t } is strictly stationary and ergodic (SE).…”

Section: Appendix B Reduced Form Stationarity and Ergodicitymentioning

confidence: 99%

“…The contraction condition of Bougerol (1993) in equation (16) essentially states that the maximal Lyapunov exponent must be negative uniformly in x.…”

Section: Appendix B Reduced Form Stationarity and Ergodicitymentioning

confidence: 99%

A dynamic network model of the unsecured interbank lending market

Blasques

Bräuning

Lelyveld

2018

Journal of Economic Dynamics and Control

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“…In particular, it points out that while selecting functional forms with uniformly bounded derivatives is often important to ensure global stability, stationarity and ergodicity of autoregressive models (see Bougerol (1991) or Pötscher and Prucha (1997)), in this context, it is simply irrelevant since the data will be simulated from a polynomial approximation that can never achieve global stability. Again, recognizing this limitation of perturbation approximations will turn out to be a practical advantage.…”

Section: The Solution-driven Dsge Specificationmentioning

confidence: 99%

Solution-Driven Specification of DSGE Models

Blasques

2013

SSRN Journal

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“…Bougerol in [1] where he proved that the elements of H are contractions (and sometimes uniform contractions) of the µ k (x, y) and then for the Riemannian distance.…”

mentioning

confidence: 99%

Contractions of Angles in Symmetric Cones

Koufany¹

2002

Publ. Res. Inst. Math. Sci.

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For a symmetric cone Ω we compute its Riemannian distance in terms of the singular values of a generalized cross-ratio and prove that the semigroup of the compressions of Ω decreases the compounds distance. §1. Introduction Let Sp(m, R) be the real symplectic group acting on the Siegel upper half plane T ΩSym of complex symmetric matrices with positive definite imaginary part via the rational transformationsLet Ω Sym be the set of real positive definite symmetric matrices. We can view it as the Riemannian symmetric space GL(m, R)/O(m). C. L. Siegel's study of the symplectic geometry [16] allows one to get an explicit formula for the geodesic distance in Ω Sym associated with the GL(m, R) invariant Riemannian metric, which coincides with the Euclidean arc length on the logarithms of

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Kalman Filtering with Random Coefficients and Contractions

Cited by 213 publications

References 22 publications

A dynamic network model of the unsecured interbank lending market

A dynamic network model of the unsecured interbank lending market

Solution-Driven Specification of DSGE Models

Contractions of Angles in Symmetric Cones

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