Implementing a Kalman Filter in Matlab

I have a personal project replicating the results from an academic finance paper (link below). I have very little experience with Matlab and could use some guidance.

The basic gist of it is:

A double mean-reverting (Ornstein Uhlenbeck) model

Specify a state-space Kalman filter model to estimate parameters

Set up a log likilihood function and use fmincon to estimate parameters from 2.

Link to the paper - relevant sections are 4 and 5: [login to view URL]


Key challenges I'll need help to complete the project:

Correctly setting up the stochastic differential equations and noise vectors

Setting up the Kalman filter correctly

Feeding in historical data to the model

Use fmincon to search for estimates

Kemahiran: Matlab and Mathematica, Matematik, Algoritma, Kejuruteraan, Kejuruteraan Elektrik

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Tentang Majikan:
( 1 ulasan ) Băilești, Romania

ID Projek: #26899678

19 pekerja bebas membida secara purata $269 untuk pekerjaan ini


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$300 USD dalam 5 hari
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$300 USD dalam 4 hari
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$65 USD dalam 2 hari
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i have implemented various adaptove algorithms i. e. LMS, NLMS, RLS, Kalman filters and many more for different applications.

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(25 Ulasan)

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$250 USD dalam 7 hari
(2 Ulasan)

Hi, can help you do your project.I can implement the filter in MATLAB and can give you the code in 7 days.

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