Kalman filtering resources
- To: mathgroup at smc.vnet.net
- Subject: [mg15336] Kalman filtering resources
- From: Nicolas.Clerc at hec.unil.ch (CLERC Nicolas)
- Date: Fri, 8 Jan 1999 04:15:24 -0500
- Organization: University of Lausanne
- Sender: owner-wri-mathgroup at wolfram.com
Hi Mathematica Folks, I'm working on a financial problem that would require some Kalman Filtering (a conditional CAPM with latent factors). I found nothing related to KF on the MathSource site. Does anyone know any relevant resources (URL or ftp sites) where I would find some Mathematica code and/or advices for KF ? Thank you very much in advance for your support, Best, Nicolas