Search
Code Directory
 ASP
 ASP.NET
 C/C++
 CFML
 CGI/PERL
 Delphi
 Development
 Flash
 HTML
 Java
 JavaScript
 Pascal
 PHP
 Python
 SQL
 Tools
 Visual Basic & VB.NET
 XML
New Code
Inventory Manager For Dynamics CRM 4.0
Dockit Migrator for SharePoint 11.8.6905
Australia Post Shipping For Magento 2 1.0.0
StarTrack Shipping For Magento 2 2.0.0
Mydala script 1.3
dotConnect for FreshBooks 1.8
Odoo Kingfisher Theme 1.0
Bitcoin Mining Software - Bitcoin Mining Script 1.0.2
Excel Add-in for Magento 1.7
Excel Add-in for MailChimp 1.7
Devart Excel Add-in for QuickBooks 1.7
Excel Add-in for PostgreSQL 1.7
Devart Excel Add-in for MySQL 1.7
Devart Excel Add-in for NetSuite 1.7
Excel Add-in for Salesforce 1.7
Top Code
ATN Site Builder 3.0
ATN Resume Finder 2.0
PHP Review Script 1.0
Invoice Manager by PHPJabbers 3.0
ICPennyBid Penny Auction Script 4.0
Excel Add-in for PostgreSQL 1.1
Excel Add-in for Salesforce 1.1
Excel Add-in for MailChimp 1.1
Aglowsoft SQL Query Tools 8.2
Classified Ad Lister 1.0
Solid File System OS edition 5.1
ADO.NET Provider for ExactTarget 1.0
Deals and Discounts Website Script 1.0.2
dotConnect for FreshBooks 1.8
Excel Add-in for Magento 1.6
Top Rated
phpEnter 5.1.
Single Leg MLM 1.2.1
Azizi search engine script PHP 4.1.10
Paste phpSoftPro 1.4.1
Extreme Injector 3.7
Deals and Discounts Website Script 1.0.2
ADO.NET Provider for ExactTarget 1.0
Solid File System OS edition 5.1
Classified Ad Lister 1.0
Aglowsoft SQL Query Tools 8.2
Invoice Manager by PHPJabbers 3.0
ICPennyBid Penny Auction Script 4.0
PHP Review Script 1.0
ATN Resume Finder 2.0
ATN Site Builder 3.0
Kalman Filter Application Vasicek 1.0
File ID: 80545






Kalman Filter Application Vasicek 1.0
Download Kalman Filter Application Vasicek 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 10.0 KB
Downloads: 13
Submit Rating:
Kalman Filter Application Vasicek 1.0 Description
Description: 3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.

If the implementation is good, the inputs should equal the outputs, run this 200 times.

For details see;

http://www.bankofcanada.ca/en/res/wp/2001/wp01-15a.pdf
and/or
Ren-Raw Chen and Louis Scott, d-deDUMulti-Factor Cox-Ingersoll-Ross Models of the Term Structure: Estimates and Tests from a Kalman Filter Model,d-deDt The Journal of Real Estate Finance and Economics 27, no. 2 (2003): 143-172.
etc.

Please comment or leave suggestions

License: Freeware

Related: Tests, kalman, Filter, estimates, Structure, multifactor, coxingersollross, Models, Model, journal, Comment, leave, suggestions, etcplease, economics, Estate, Finance, scott, louis, Simulation

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 13



More Similar Code

This is a simple demo of a Kalman filter for a sinus wave, it is very commented and is a good approach to start when learning the capabilities of it.



Tracking of a red point in video which is moving according the parametric equation of Astroid using 5 equations of Kalman Filter.
Generate Video file makes a video of a Large square block moving according the equation of Astroid.
Kalman...



It will compute the Kalman gain and the stationary covariance matrix using a Kalman filter with a linear forward looking model.



The extended Kalman filter can not only estimate states of nonlinear dynamic systems from noisy measurements but also can be used to estimate parameters of a nonlinear system. A direct application of parameter estimation is to train artificial...



In this implementation of tracking a ball, we will track a live ball using Kalman filter. The tracking will switch to autorun mode when the sight of the ball is lost and Kalman will estimate the motion based on it's previous states



Similar to using the extended Kalman filter, Neural Networks can also be trained through parameter estimation using the unscented Kalman filter. This file provides a function for this purpose. It also includes an example to show how to use this...



The purpose of this tutorial is to illustrate the usage of Kalman Filter by a simple example.

The problem: Predict the position and velocity of a moving train 2 seconds ahead, having noisy measurements of its positions along the...



The Kalman filter is a feedback system. A Simulink model is developed to view this more clearly. From the feedback blocks, it is clear the normal Kalman filter is a linear time-variant system. By replacing the time-varying filter gain with its...



Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.



The models included shows three different ways to implement a kalman filter in Simulink(R). The first uses the kalman function in control system toolbox to design a steady state kalman filter. The second is an embedded MATLAB(R) block...

User Review for Kalman Filter Application Vasicek
- required fields
     

Please enter text on the image