Unscented Kalman filter for noisy multivariate financial time-series data

• Main Authors: Jadid Abdulkadir, S., Yong, S.-P.
• Format: Article
• Published: 2013
• Online Access: https://www.scopus.com/inward/record.uri?eid=2-s2.0-84892425765&doi=10.1007%2f978-3-642-44949-9_9&partnerID=40&md5=43ff824734590a9478a4b9878861ec82; http://eprints.utp.edu.my/32555/
• Institution: Universiti Teknologi Petronas

Kalman filter is one of the novel techniques useful for statistical estimation theory and now widely used in many practical applications. In this paper, we consider the process of applying Unscented Kalman Filtering algorithm to multivariate financial time series data to determine if the algorithm c...