The ultimate resource on Kalman Filtering is of course this site.There is also Filtering in Finance paper that covers (albeit briefly) the parameter estimation.

QuoteOriginally posted by: CuchulainnGilbert Strang, one of the bestI agree, his book is one of the best for (undergraduate) self-study. As an additional bonus you can watch his video lectures which more or less follow the book.

<r>A wealth of downloadable papers on new developments in Kalman filtering is available here:<URL url="http://cslu.cse.ogi.edu/cgi-bin/publications/searchbib_cslu.pl?keyword=Wan&connector=or&case=sensitivehttp://www.cse.ogi.edu/~rudmerwe/pubs/index.htmlhttp://drl.ohsu.edu/cdm4/item_viewer.ph...

<t>QuoteOriginally posted by: farmerQuoteOriginally posted by: alexvCould he have meant dmesg? It shows kernel messages. Plug your device in and do dmesg to see what the linux kernel thinks about it.Yeah, I think that is the one. Shows a bunch of eeprom values. If you were to say "dmesg" out loud, h...

<t>Is is a storage device? There is "dmask" option that you can specify in /etc/fstab for certain filesystems. It tells the appropriate mount program to use specific mask for directories. For instance (from "man mount", section for FAT): dmask=value Set the umask applied to directories only. The def...

<t>There is Sql module in Qt libraryhttp://doc.trolltech.com/4.2/qtsql.htmlIt is part of the free edition (Qt Open Source Edition) as well as two commercial editions - the Qt Desktop Edition (everything), and the Qt Console Edition (no GUI stuff)You will have the additional benefit of having cross-p...

<t>QuoteOriginally posted by: ZmeiGorynychHmm, interesting. Care to give links to a download and a getting-started? Or should I just google?You mean Lisp? Here is some motivational reading, tons of tutorials and commercial IDE with dynamic debugger etc although I used to do all the development/debug...

<t>QuoteOriginally posted by: ZmeiGorynychQuoteAnother option is to do the prototyping in _no_frills C and concentrate on the data flow and algorithms.Having to know exactly the size of each array at compile time? No runtime-extensible structs? Lousy string handling? No interactive debug (ie pause a...

Securitization by Andrew Davidson et. al. does a good job at explaining how the MBS business works and main approaches to pricing

<t>QuoteOriginally posted by: ZmeiGorynychIs octave command-line only? One thing I love about matlab is the incredibly mature integration of command-line and GUI features (things like selecting some text in the editor and right click-evaluating it on the command line, double-clicking on workspace va...

As far as arrays/matrices go, I really liked this one MATLAB array manipulation tips and tricks

<t>QuoteOriginally posted by: zetaQuoteIn principle the software should run on a Windows desktop. Linux interoperability is an added bonus.you want PVM. I use it for simple data decomposition and don't honestly know how it compares to MPI... PVM isn't fussed on the details of your machines/network a...

<t>Correct. Normally current coupon and one or more market rates (treasury, libor) are inputs to prepayment model. When calculating effective duration you shift the market rates (and keep oas constant for discounting) but you don't know what the current coupon will be. So the standard assumption is ...

I'd recommend you read this paper by Gibson and Pritsker to see why PCA is not the best way to approach this kind of problem.

<r>There appear to exist a perception that Mathematica is weak at numerical computations (as compared to Matlab for instance). Nothing could be further from the truth! Mathematica employs high-end numerical algorithms written by brightest people in the industry: optimized matrix computations, (non)l...