## AMRA Model and Kalman Filter (01)

Autocorrelation We often need to characterize time series autocorrelation, , which is defined as When the sequence is weakly stationary, … Continue Reading AMRA Model and Kalman Filter (01)

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# Tag: Kalman Filter

## AMRA Model and Kalman Filter (01)

## Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading

## Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression

Autocorrelation We often need to characterize time series autocorrelation, , which is defined as When the sequence is weakly stationary, … Continue Reading AMRA Model and Kalman Filter (01)

Our previous article on Kalman filter gave us a simple linear regression output. The model is designed to handle noisy … Continue Reading Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading

Linear Regression Let’s get some Kalman filter basics and start playing around with it. There is a long history about … Continue Reading Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression