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Kalman Filter parameter estimation

  • Thread starter Thread starter Mitor
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Mitor

Mitor

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10/20/13
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Hello All
Does anyone has a paper/code of implementation of Kalman Filter for any two factor interest rate model?
thanks
 
Thanks. I already skimmed that paper, was expecting another one.
 
I have a question referring to the papaer uploaded above, I find that equation 77 is wrong since var(y_t|F_{t-1}) should be var(z_t|F_{t-1}) since that is the one used in the paper from Chen and Scotte. Is this true?
 

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