End of Initial Tests of Trading Forex News Announcements
Following on from my previous post I have completed the same tests as outlined in that post on other currencies and the summary […]
Read moreCategory: Kalman
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 […]
Read moreQuick Update on Kalman Filter and Sensor Fusion
Managed to code it up and get it working, but at the end of the day I couldn’t see any value added […]
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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 moreProcess Noise Covariance Matrix Q for a Kalman Filter
Since my last post I have been working on the process noise covariance matrix Q, with a view to optimising both the […]
Read moreDetermining the Noise Covariance Matrix R for a Kalman Filter
An important part of getting a Kalman filter to work well is tuning the process noise covariance matrix Q and the measurement […]
Read moreExtended Kalman Filter, Alternative Version
Below is alternative code for an Extended Kalman filter for a sine wave, which has 4 states: the sine wave value, the phase, […]
Read moreExtended Kalman Filter
In the code box below I provide code for an Extended Kalman filter to model a sine wave. This is a mashup […]
Read moreTests of Constant and Variable Acceleration Model Kalman Filters
In my last post I said that this next post would report the results of tests on a Constant Acceleration model Kalman filter, and […]
Read moreTest of Constant Velocity Model Kalman Filter
Following on from my previous post, this post is a more detailed description of the testing methodology to test kinematic motion models […]
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