- Kalman tools for Matlab
- Kalman filter & smoother
- Allow for control inputs in state equation & affine term in measurement equation
- Maximum likelihood estimation of linear state-space systems
- Implementation of the expectation maximization algorithm
- Can estimate input matrix and/or affine term in measurement equation
- Optional diagonal restrictions on state & observation noise covariance matrices
- 12/06/2007: Updated with moderate efficiency improvements for M-step routines & major change in EM convergence criterion (relative instead of absolute change)
- 12/13/2007: Significant efficiency improvements and further tweaking of EM convergence criterion
- Licensed under LGPL v3.0
- Some useful scripts for R
- AICc.R: A function to calculate corrected AIC (AIC with an adjustment term for small-sample bias). This is written in the same way as the base AIC function, and will work for any model with a logLik method.
- split.data.R: A simple function to break apart a data frame or multivariate time series; it is particularly useful for dealing with the latter. Includes an option to omit missing values while splitting.
- Background:
- BA/MA Student in Mathematics & Economics
- Mathematics & Economics Bachelors, Economics Masters
- Research Assistant with Boston University Department of Economics
- Formerly:
- Intern with UBS Fixed Income Research
- US Rates & Govt. Bonds Group
- Senior Research & IT Advisor, Matté & Company
- Research Assistant, Boston University School of Management
- Intern with UBS Fixed Income Research
Contact: ablocker (at) bu (dot) edu