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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

Kĩ năng: Matlab and Mathematica, Toán học, Thuật toán, Kĩ thuật, Kĩ thuật điện

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Về Bên Thuê:
( 1 Nhận xét ) Băilești, Romania

ID dự án: #26899678

19 freelancer đang chào giá trung bình $269 cho công việc này

VolKa

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schoudhary1553

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Sarath129

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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