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Re: Kalman filtering resources

  • To: mathgroup at smc.vnet.net
  • Subject: [mg15366] Re: Kalman filtering resources
  • From: Igor Bakshee <bakshee>
  • Date: Sat, 9 Jan 1999 23:58:23 -0500
  • Organization: Wolfram Research, Inc.
  • References: <774l8v$47j@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

The Kalman filtering functions are included in Time Series and Control
System Professional (both are separate commercial add-ons to
Mathematica, i.e., they are not free). More info on the packages can be
found at 

http://store.wolfram.com/view/timeseries

and

http://store.wolfram.com/view/control

correspondingly. (The web pages for Time Series seem to be slightly out
of synch in the Kalman filtering part, so you will have to request our
printed catalog and/or technical data sheet through the usual sales
channels if interested.)

Igor Bakshee
WRI, Applications Development


CLERC Nicolas wrote:
> 
> 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


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