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- Wed Apr 17, 2013 5:24 am
- Forum: Estimation
- Topic: Kalman Filter
- Replies: 1
- Views: 1848
Kalman Filter
Hello all, I'm trying to estimate a Kalman Filter but I'm having some trouble setting up the right state-space model. The point of the estimation is to estimate the price of 6 stocks, using two factors. One factor is a common factor (so its the same for all stocks) and the other is an individual one...