How to apply Kalman filter on time series?
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I have time series from stock market and want to apply the Kalman Filter. I read the samples about the setup of the Filter and they all work with some kind of matrizes. The command dspadpt3 gives me some weird mask which I have no conlcusion about handling it.
So, my main purpose would be so apply the Filter on a time series and see how it is adapted resp. hulled in (var resp. covar?).
Is there a hint resp. sample how to start the stuff? (e.g. how to get the matrixes, how to continue for a plot, etc.)
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Answers (2)
Royi Avital
on 14 Apr 2014
Edited: Royi Avital
on 14 Apr 2014
Kalman Filter is pretty straight forward, why not write it yourself?
You can see all needed here:
Now all you need is to define the parameters and use '/' and '\' wisely :-).
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