We are researching Kalman smoothing in our strategies, and we now need more information about calculations.
Questions:
1. Where we can get values of Weight1, Weight2, Weight3, that used in calculation of Kalman filter ?
2. Is this is real calculation of Kalman filter that used in Kalman.Series function?
Size:
Color:
1. Oddly enough, they aren't disclosed. A little bird told me that they may be like 1/3, 1/2 and 2/3.
2. What do you mean by saying "real calculation"?
Size:
Color: