Forgot to add: control matrix B for scalar kalman is also a unity matrix, just as transition matrix.
________________________________ From: Astor <[email protected]> To: [email protected] Sent: Sun, October 24, 2010 6:43:05 PM Subject: Re: [JBookTrader] Re: Status of Kalman filter? Looks good. The filter can be made a bit more responsive by using the constructor and methods which allow "control". The term "control" is really misleading. The "control" is simply new information that influences the forecast. Using EMA analogy, if EMA(t) = EMA(t-1) + K*[X(t) - EMA(t-1)], then X(t) is the "control" in this equation. Why the name "control"? In some applications, such as missile guidance, X(t) may represent thrust added at each time t by the targeting computer to control the missile trajectory. If control is omitted then the prediction stage is run as simple auto-regression and X(t) enters at the correction stage. If control is included, then X(t) enters at both, prediction and correction stages, causing filter to respond quicker. For price data from Eugene's test, control is the new price at time t and the constructor should be: JKalman kalman = new JKalman(1, 1,1); and predict method: s = kalman.Predict(price); ________________________________ From: Eugene Kononov <[email protected]> To: [email protected] Sent: Sat, October 23, 2010 9:41:14 AM Subject: Re: [JBookTrader] Re: Status of Kalman filter? Based on Astor's comments, I made some changes to the indicator. From the attached chart, it looks like it's doing a good job. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
