'Observation noise' presentation slideshows

Introduction to Algorithmic Trading Strategies Lecture 5

Introduction to Algorithmic Trading Strategies Lecture 5. Pairs T rading by Stochastic Spread Methods. Haksun Li haksun.li@numericalmethod.com www.numericalmethod.com. Outline. First passage time Kalman filter Maximum likelihood estimate EM algorithm. References.

700 views • 43 slides

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??????????????????????????????????. On-line estimation of observation error covariance for ensemble-based filters. Genta Ueno The Institute of Statistical Mathematics. Covariance matrix in DA. State space model. Cost function. Filtered estimates with different ?. Large Q ( large s h ? ).

539 views • 31 slides

Accurate Video Localization

169 views • 6 slides