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10
votes
1answer
207 views
State-space representation of Ornstein–Uhlenbeck and CIR processes
I would like to estimate Ornstein–Uhlenbeck process' parameters via Kalman filter.
My process is the following one:
$\text{d}x_{t}=\alpha(\theta-x_{t})\text{d}t+\sigma\text{d}W_{t}$
I'm interested ...
0
votes
2answers
869 views
Kalman Filter Equity Example
I am looking out for some material where I can study about Kalman Filter applied to Equity using Excel or R?
