Unscented Kalman filter for noisy multivariate financial time-series data
Kalman filter is one of the novel techniques useful for statistical estimation theory and now widely used in many practical applications. In this paper, we consider the process of applying Unscented Kalman Filtering algorithm to multivariate financial time series data to determine if the algorithm c...
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| Main Authors: | , |
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| Format: | Article |
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2013
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84892425765&doi=10.1007%2f978-3-642-44949-9_9&partnerID=40&md5=43ff824734590a9478a4b9878861ec82 http://eprints.utp.edu.my/32949/ |
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