Blar i Universitetet i Stavanger på emneord "Kalman filter"
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Estimating and Forecasting of Dynamic linear Gaussian State Space Models for Commodity Futures
(Masteroppgave/UIS-TN-IMF/2019;, Master thesis, 2019-06-14)The Kalman filter is used to estimate the parameters and forecast the observations in a dynamic Nelson-Siegel model a linear Gaussian state space representation for futures contracts on the commodities oil, natural gas, ...