This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman ...

Vold and Leuridan [1] introduced in 1993 an algorithm for high resolution, slew rate independent order tracking based on the concepts of Kalman filters [5, 6]. The algorithm has been highly successful ...