Kalman
Author: Lunev
Creation Date: 3/3/2017 4:31 PM
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Lunev

#1
We are researching Kalman smoothing in our strategies, and we now need more information about calculations.

Questions:

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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Eugene

#2
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"?