Uses Kalman Filter technique in order to produce dynamic hedge-ratio for 2 highly correlated securities, which is then used to form a mean reversion trading model backtested over 22 years! Done in ...

Rust implementation of the example cases from the textbook Kalman Filter for Beginners with MATLAB Examples by Phil Kim. Running this code from the top-level will run each of the simulation examples ...

The commonly encountered scenarios in the Kalman filter applications include multi‐rate sampled data and missing measurements. The chapter presents the extended Kalman filter for state estimation of ...

Or if you prefer videos, there is a series of seven videos from MATLAB about Kalman filters and you can see the first one, below. This isn’t the first time we’ve looked at a walkthrough of the ...

This paper proposes a Kalman filter based state-of-charge (SOC) estimation MATLAB function using a second-order RC equivalent circuit model (ECM). The function requires the SOC-OCV (open circuit ...

Article citations More>> Grewal, M.S. and Andrews, A.P. (2014) Kalman Filtering Theory and Practice Using MATLAB. 4th Edition, John Wiley & Sons Inc., New York. has been cited by the following article ...

However, these types of demodulation are not robust and suffer from poor performance. This paper proposes a new method to enhance the performance of DQPSK and GFSK using Interactive Kalman Filtering ...