Kalman Filter Application
Kalman Filter is applied to estimate the parameters of CIR interest rate model.
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Corresponds to the paper "estimating and testing exponential-affine term structure models by kalman filter" published by Review of Quantitative Finance and Accounting in 1999.
Cite As
Biao (2026). Kalman Filter Application (https://uk.mathworks.com/matlabcentral/fileexchange/27493-kalman-filter-application), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired: Kalman Filter Application CIR, Kalman Filter Application Vasicek, Kalman Filter Application two factor CIR
General Information
- Version 1.0.0.0 (22.1 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
