Tracking Ornstein-Uhlenbeck Process in Python
The Vasicek model is a specific application of the Ornstein-Uhlenbeck process in the context of interest rate modeling.
I explained the Kalman filter and Kalman smoother.
By using the Kalman filter and smoother for state estimation, I simulated and estimated parameters for the Vasicek model.
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The Python code is uploaded into https://github.com/AIMLModeling/OUTra...