Author: Lunev
Creation Date: 3/3/2017 4:31 PM
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We are researching Kalman smoothing in our strategies, and we now need more information about calculations.


1. Where we can get values of Weight1, Weight2, Weight3, that used in calculation of Kalman filter ?

2. Is this is real calculation of Kalman filter that used in Kalman.Series function?
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1. Oddly enough, they aren't disclosed. A little bird told me that they may be like 1/3, 1/2 and 2/3.

2. What do you mean by saying "real calculation"?