Kalman Filter Application
Version 1.0.0.0 (22.1 KB) by
Biao
Kalman Filter is applied to estimate the parameters of CIR interest rate model.
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 .
MATLAB Release Compatibility
Created with
R2008b
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
- Signal Processing > Signal Processing Toolbox > Digital and Analog Filters > Digital Filter Design > Adaptive Filters >
Find more on Interest-Rate Instruments in Help Center and MATLAB Answers
Tags
Acknowledgements
Inspired: Kalman Filter Application CIR, Kalman Filter Application Vasicek, Kalman Filter Application two factor CIR
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| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 |
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