SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
willsmith
Topic Author
Posts: 281
Joined: January 14th, 2008, 11:59 pm

Learning Kalman filtering, maximum likelihood

February 15th, 2010, 11:31 pm

Can anybody recommend a good reference or two where Kalman filtering and/or maximum likelihood estimation (specifically, for model calibration) are covered?I find I understand quickly if books/lectures/training material involve mainly graphs and diagrams, and understand slowly if it's mainly equations. All the references so far I've found fall into the 'mainly equations' category. Am I the only one to suffer this problem?Thanks.
 
User avatar
quantobe
Posts: 65
Joined: May 13th, 2009, 10:27 am

Learning Kalman filtering, maximum likelihood

February 16th, 2010, 7:58 am

To get a good descriptive, bird's eye view of Econometrics in General and also MLE in particular, I would suggest A Guide to Econometrics by Peter Kennedy.
 
User avatar
FaridMoussaoui
Posts: 507
Joined: June 20th, 2008, 10:05 am
Location: Genève, Genf, Ginevra, Geneva

Learning Kalman filtering, maximum likelihood

February 16th, 2010, 9:39 am

The seminal work of Schwartz on his two-factor model for commodity prices uses Kaltam filters to do the parametersestimation. I found also that Hamilton book explain very well how to use KF for estimations.As you are at Birkbeck, you should ask your local bible, Mrs Geman.F.
 
User avatar
vineet20
Posts: 29
Joined: May 17th, 2007, 1:34 pm

Learning Kalman filtering, maximum likelihood

February 16th, 2010, 10:12 am

Andrew Harvey's Time Series Models is the best intro book on state space models I have come across. It's a little old though, and I am told Durbin and Koopman's is better.
 
User avatar
ACD
Posts: 107
Joined: April 19th, 2004, 8:09 am

Learning Kalman filtering, maximum likelihood

February 16th, 2010, 10:22 am

I second Durbin and Koopman, it's very clear and well written.
 
User avatar
Hansi
Posts: 3300
Joined: January 25th, 2010, 11:47 am

Learning Kalman filtering, maximum likelihood

February 16th, 2010, 12:55 pm

My notes place a good chapter for Kalman filters in chapter 13 of this one:
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On