The Kalman filter in finance
By: by Curt Wells.
Series: Advanced studies in theoretical and applied econometrics ;; v. 32
Publisher: Kluwer Academic Publishers
Published: 1996
Place of publication: Dordrecht [Netherlands]; Boston [Mass.]
Language: eng
Number of pages: 169
Subjects: Finance -- Econometric models; Estimation theory; Kalman filtering
Notes: Includes bibliographical references (p. 157-162) and index.