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updated 3 years ago

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

discrete-time and continuous-time processes for finance, theory and empirical examples (finance, statistics, portfolio management)

AnalyzePersistence(Data,AggregationPersistence,LagsSamplA...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance...

Data=FilterJumps(Dates,Data,Name)

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updated 7 years ago

An Intuitive Introduction to Kalman Filter by Alex Blekhman

A simplified tutorial example to the usage of Kalman Filter (filter design, filter analysis, kalman filter estimat...)

Tutorial.m

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updated almost 9 years ago

Learning the Kalman Filter by Michael Kleder

Basic Kalman filter, heavily commented, for beginners to Kalman filtering. (filter design, filter analysis, linear)

kalmanf(s)

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