• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering.
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Coming soon.
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models.

Is there a square-root unscented kalman filter function in R?

EricAO

New Member
I have been trying to simulate a quadratic yield curve model and estimate the state variable using a UKF, but after some iterations (usually two) the covariance matrix is not positiv definite anymore, so the cholesky decomposition fails. As an alternative I found the square root UKF from Van der Merwe and Wan (2000), which uses QR decomposition and chosleky factor updating. This is why I wanted to ask if there is an implementation of this algorithm in R? I couldn’t find one yet. Thank you.
 
Top