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1 vote

Can someone explain the particle filter algorithm in detail with intuition

I know kalman filters and have ... If this knowledge extends to Unscented filters, UKF, you can think of the UKF being a sparse particle filter. With a UKF you have a few sigma points which are ...
babelproofreader's user avatar
1 vote

Bayesian analysis in R for low default portfolios

If I understand correctly, you're looking for an implementation of Monte Carlo simulations in this paper? If you can't find anything on CRAN or elsewhere on the internet, I think your best bets, in ...
Bob Jansen's user avatar
  • 8,562
1 vote

Rationale for likelihood function parameter choice in Black-Litterman model?

Since you add the bayes-theory tag here I'm gonna speak in bayesian interpretation; I'd say it's just because this is the simplest way to obtain the distribution of prior; A better way to do this is ...
numerairX's user avatar
  • 609
1 vote

Bayesian trade probability with factors

There appears to be some confusion on how Bayesian methodologies work and their differences to null hypothesis methods such as Pearson and Neyman Frequentist, Fisher's Likelihoodist or Chebyshev's ...
Dave Harris's user avatar
  • 4,299
1 vote

Knightian Uncertainty Iff Bayesian Probabilistic View Point

You have a correct understanding. There is a subtle difference in that Knight effectively distinguishes uncertainty from chance. It could be argued that there is no such thing as chance in the ...
Dave Harris's user avatar
  • 4,299

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