I'm using Kalman Filter to calculate a rolling spread between two asset price series as commonly described by Chan and many others. I would like to extend this regression to the price of three assets, according to:
Asset_0 = c1 * Asset_1 + c2 * Asset_2 ( + intercept)
Question: How can I extend the Kalman regression to calculate c1 and c2? I'm using Python and pykalman, but any example that could explain this would be greatly appreciated.