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.
3.2K Downloads
Updated 5 May 2010

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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 (2024). Kalman Filter Application (https://www.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
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Version Published Release Notes
1.0.0.0