Hot answers tagged quants
6
A simple google search should get your started:
I like this one the best because it compares different packages:
http://stat-www.berkeley.edu/~brill/Stat248/kalmanfiltering.pdf
and here couple more:
http://www.r-bloggers.com/the-kalman-filter-for-financial-time-series/
http://cran.r-project.org/web/packages/dlm/index.html
...
2
A great example of kalman filtering is in the Kyle Model. I have attached a presentation on the application of R to the kalman filter in the Kyle Model.
http://www.rinfinance.com/RinFinance2009/presentations/microstructure-tutorial.pdf
Basically in the Kyle Model, a market maker finds the likelihood an asset is ending up at a certain price given that a ...
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