Research method
Kalman filter
Kalman filter is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive5 readings
1998T3 adaptive smoothing from regression benchmarks1999Lagged trend filters for neural-network inputs2006Linear forecast versus buy-and-hold when price changes cluster2010Treat a market as a transfer device before completing a price path2018Constructing predictive filters with RSI and walk-forward tests
This registry entry describes a research method. It is not investment advice and does not make a performance claim.