Stock price prediction using kalman filter
On-Line Learning of Linear Dynamical Systems with Kalman ... Jan 29, 2019 · The task, where one is to combine the estimate of the hidden state with observations made at the time of prediction using this model, is known as ‘filtering’. Figure 1: Daily values of Dow Jones Industrial Average, a stock-market index, starting in 1885, together with predictions using AR(2), the spectral filter of Hazan et al. (NIPS 2017