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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]

Deliverables

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

VolKa

Hi. I read the description and think that will be able to do this. Please provide more information. Regards.

$300 USD dalam 5 hari
(218 Ulasan)
6.9
schoudhary1553

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$220 USD dalam 4 hari
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hayat38402

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5.8
zainpacc

Expertise in MATLAB and Kalman Filter with 5 years of academic, industrial and freelancing experience in this field I have completed various protects related this field as you can view my profile for completed projects Lagi

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5.1
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5.2
MaharNadirAli

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$65 USD dalam 2 hari
(31 Ulasan)
4.7
mubashar06

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)
4.7
Alinj86

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allmed2013

Hello, I am-a quant- an engineer with two masters degree in applied mathematics : 1) Mathematical engineering 2) Statistics and Modeling for finance. I have worked on many projects from risk management to Pricing deriv Lagi

$250 USD dalam 7 hari
(2 Ulasan)
2.6
Sarath129

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

$100 USD dalam 7 hari
(7 Ulasan)
2.6
mramalingam

Hi I am a Ph D computational scientist and an expert of signal processing and coding in MATLAB. I can get your work done with utmost efficiency. You may consider me with confidence Regards Muthu

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(3 Ulasan)
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B85anjanaB

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0.6
suneel2015

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(1 Ulasan)
0.0
draganmare2020

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