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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)




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updated 8 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...)

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updated 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)

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