A "New" Use for Kalman Filter on Price Time Series?
During the course of writing this blog I have visited the idea of using Kalman filters several times, most recently in this […]
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Kalman Filter and Sensor Fusion.
In the Spring of 2012 and again in the Spring of 2019 I posted a series of posts about the Kalman Filter, which […]
Read moreRVFL Network Results
Having let the tests outlined in my previous post run, I can say that the results are inconclusive as the optimised number […]
Read moreIdeal Cyclic Tau Embedding as Times Series Features
Continuing on from my Ideal Tau for Time Series Embedding post, I have now written an Octave function based on these ideas […]
Read morePreliminary Test Results of Time Series Embedding
Following on from my post yesterday, this post presents some preliminary results from the test I was running while writing yesterday’s post. […]
Read moreHidden Markov Modelling of Synthetic Periodic Time Series Data
I am currently working on a method of predicting/projecting cyclic price action, based upon John Ehlers’ sinewave indicator code, and to test […]
Read moreCurrency Strength Indicator
Over the last few weeks I have been looking into creating a currency strength indicator as input to a Nonlinear autoregressive exogenous […]
Read moreGiving Up on Recursive Sine Formula for Period Calculation
I have spent the last few weeks trying to get my recursive sine wave formula for period calculations to work, but try […]
Read moreRecursive Sine Wave Formula for Period Calculation
Since my last post I have successfully managed to incorporate the deepmat toolbox into my code, so now my RBM pre-training uses […]
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