This is a summary of links featured on Quantocracy on Wednesday, 07/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Beyond linear: the Extended Kalman Filter [Quant Dare]Although linear systems are pretty convenient at many levels, many real world applications cannot rely in this assumption. The Extended Kalman Filter can deal with these nonlinearities in a simple way. Learn how in this post. Introduction In the 1960s, Rufold E. Kalman codeveloped one of the most important and used algorithms of the 20th century: the Kalman Filter [6][7]. The Kalman Filter is an