Skip to main content

All Questions

Filter by
Sorted by
Tagged with
0 votes
1 answer
122 views

Odd Result from Computing Correlation Matrix from Kalman Filter Posteriori Covariance Estimate

I am using a Kalman Filter to estimate the return dynamics of a forwards curve on a particular commodity. My state space is the initial forwards values, and an initial guess of the drift functions for ...
user85127's user avatar