Abstract
Kalman filter is one of the novel techniques useful for statistical estimation theory and now widely used in many practical applications. In literature, various algorithms for implementing Kalman filter have been proposed. In this paper, we consider a Fast Kalman Filtering algorithm and applied it to financial time series analysis using ARMA models.
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Rajan, M.P., Mathew, J. (2012). Kalman Filter and Financial Time Series Analysis. In: Mathew, J., Patra, P., Pradhan, D.K., Kuttyamma, A.J. (eds) Eco-friendly Computing and Communication Systems. ICECCS 2012. Communications in Computer and Information Science, vol 305. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32112-2_40
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DOI: https://doi.org/10.1007/978-3-642-32112-2_40
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-32111-5
Online ISBN: 978-3-642-32112-2
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