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Bayesian and Kalman

The document discusses Bayesian statistical methods and the Kalman filter, highlighting their applications in finance and state estimation in random processes. It includes links to resources such as videos, online implementations, and tutorials for further learning. Key concepts include the relationship between Bayesian and Kalman filters, the properties of Gaussian distributions, and the significance of characteristic functions in probability theory.

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Syed Hashim Shah Hashmi
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37 views3 pages

Bayesian and Kalman

The document discusses Bayesian statistical methods and the Kalman filter, highlighting their applications in finance and state estimation in random processes. It includes links to resources such as videos, online implementations, and tutorials for further learning. Key concepts include the relationship between Bayesian and Kalman filters, the properties of Gaussian distributions, and the significance of characteristic functions in probability theory.

Uploaded by

Syed Hashim Shah Hashmi
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Bayesian_and_Kalman

Book
A first course in Bayesian Statistical Methods: A_first_course_in_Bayesian_Statistical_Methods.pdf

Best videos on Kalman and Bayesian Filtering


Kapil Sachdeva, all his videos are brilliant.

https://www.youtube.com/watch?v=-DiZGpAh7T4
There is also a notebook.

Kalman Filter in Finance :"Kalman Filtering with Applications in Finance" by Shengjie Xiu, course tutorial 2021 (youtube.com)

Implementation of Kalman filter

https://arxiv.org/pdf/1204.0375.pdf
https://david.wf/kalmanfilter/

Kalman Filter is gaussian and linear because, linear operator on gaussian returns linear operator and products of gaussians is also a Gaussian.
Also It is the linear combination of jointly Gaussian random variables (RVs) that results in another RV with Gaussian density.

In probability theory and statistics, the characteristic function of any real-valued random variable completely defines its probability distribution. If a
random variable admits a probability density function, then the characteristic function is the Fourier transform of the probability density function.**

Online Implementations and Note book Tutorials on Kalman

1. https://www.convict.lu/htm/rob/imperfect_data_in_a_noisy_world3.html
2. https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python/tree/master

Bayesian Filter => Kalman Filter =>

Bayesian filter is an algorithm that does state estimation in a random process using measurement that are noisy.

An observed random X or m variable is usually called a measurement. Z or s is a hidden variable and is unobserved. Also called Latent variable or state.
We can imagine that measurement is a noisy distorted estimate.

Causal or Emission relation

Inference

S1 S2 S3 S4

M1 M2 M3 M4

If Arrow functions i.e. forward function or model function are linear and distributions of M and S are guassian (which evolve over time but still
guassian), the we have closed form solution inform of Kalman Filter.
https://www.youtube.com/watch?v=HCd-leV8OkU

Moving average has a small delay proportional to moving window average.


This is annoying because delays are not useful for quick response.
1st order low pass filder
Nakata_Tonetti_KalmanFilterAndSmoother.pdf

Normal Distribution
When various random variables which are independent add up to give us a random variable Z, then Z is normally distributed

Log-Normal Distribution:
When log of random variable Z is Normally distributed, when Z is made up of product of many positive and independent random variables.

Maximum Likelihood
Posterior_Prior_Bayes

Posterior_Prior

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