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