Quant Mashup - Patrick Aschermayr

New Quant Blog: A Primer on State Space Models [Patrick Aschermayr]

In my first series of posts, I will give a primer on state space models (SSM) that will lay a foundation in understanding upcoming posts about their variants, usefulness, methods to apply inference and forecasting possibilities. When talking about a state space model (SSM), people usually refer to a(...)