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arXiv · 2608.16401

Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes

Filippo Monti·Andrew Holbrook·Nathan E. Glatt-Holtz·Marc A. Suchard
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Abstract

Ornstein-Uhlenbeck processes with flexible multivariate drift matrices are powerful models for capturing coupled, asymmetric, and damped-oscillatory mean reversion. However, likelihood-based inference is challenging because the drift matrix must remain Hurwitz stable, while likelihood and gradient evaluations require repeated, costly computation and differentiation of the drift matrix exponential and of solutions to the associated Lyapunov equation. We introduce the Hurwitz smooth spectral block parametrization (H-SSBP), which represents the drift as a change of basis applied to independent one- and two-dimensional stable blocks. Simple scalar constraints enforce Hurwitz stability, while the two-dimensional blocks vary smoothly between real- and complex-eigenvalue regimes, avoiding discrete model selection. The H-SSBP represents every real Hurwitz matrix diagonalizable over the complex numbers and has dense, full-measure support within the Hurwitz cone. Its block structure reduces the OU transition matrix, stationary and innovation covariances, and their reverse-mode derivatives to constant-size block or block-pair computations plus change-of-basis multiplications. Numerical experiments demonstrate dramatic speed-ups over alternatives, particularly for matrix-exponential adjoints and Lyapunov-equation kernels. Real-data analyses of asynchronous financial data and multivariate phylogenetic traits illustrate the proposed framework in practice.

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Filippo Monti, Andrew Holbrook, Nathan E. Glatt-Holtz, Marc A. Suchard. 2026-08-17. Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes. https://arxiv.org/abs/2608.16401

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