Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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I.
Basic math.
II.
Pricing and Hedging.
III.
Explicit techniques.
IV.
Data Analysis.
1.
Time Series.
A.
Time series forecasting.
B.
Updating a linear forecast.
C.
Kalman filter I.
D.
Kalman filter II.
a.
General Kalman filter problem.
b.
General Kalman filter solution.
c.
Convolution of normal distributions.
d.
Kalman filter calculation for linear model.
e.
Kalman filter in non-linear situation.
f.
Unscented transformation.
E.
Simultaneous equations.
2.
Classical statistics.
3.
Bayesian statistics.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Kalman filter II.
e employ the "brutal force" approach to the Kalman filter in line with the recipes (
Total probability rule
) and (
Bayes formula
). The consideration is inspired by
[Haykin]
.
a.
General Kalman filter problem.
b.
General Kalman filter solution.
c.
Convolution of normal distributions.
d.
Kalman filter calculation for linear model.
e.
Kalman filter in non-linear situation.
f.
Unscented transformation.
Notation.
Index.
Contents.
Copyright 2007