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)
Kalman Filter (02) – S&P 500 and Dow Jones Pairs Trading
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
Kalman Filter (01) – S&P 500 and Dow Jones Linear Regression
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