Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Services
Author
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I.
Basic math.
II.
Pricing and Hedging.
III.
Explicit techniques.
IV.
Data Analysis.
1.
Time Series.
A.
Time series forecasting.
B.
Updating a linear forecast.
C.
Kalman filter I.
a.
Kalman filter computation at t=1.
b.
Kalman filter computation for general t.
c.
Calibration of parameters with Kalman filter.
D.
Kalman filter II.
E.
Simultaneous equations.
2.
Classical statistics.
3.
Bayesian statistics.
V.
Implementation tools.
VI.
Basic Math II.
VII.
Implementation tools II.
VIII.
Bibliography
Notation.
Index.
Contents.
Kalman filter computation at t=1.
sing the result of the previous section we compute
where
and
are given by the expressions
Hence,
Next, we compute the error
Hence,
Consequently,
and finally
Notation.
Index.
Contents.
Copyright 2007
