1
$\begingroup$

I have a 6 state Kalman Filter (Unscented).

When I use a diagonal matrix only for Q (i.e only the diagonal has covariances), I get a "smooth" plot of estimate against actual.

If I use the entire Q matrix (i.e include all covariances) I get an estimate that oscillates around actual wildly.

Is it incorrect to just use diagonal?

ADDITIONAL:

I am using 6 correlated Equity Stocks Price timeseries. In constructing the covariance matrix I use the difference between consecutive prices. I do NOT log the data.

$\endgroup$
7
  • $\begingroup$ Are the state process noises correlated? If the "true" system has them correlated, then you should use the off-diagonal entries. If you don't know, just use the diagonal entries. $\endgroup$
    – Peter K.
    Commented Nov 27, 2015 at 17:05
  • $\begingroup$ Yes - they are correlated - they are all Equity Price time series. Using the full matrix makes the Kalman unusable - what might I be doing wrong? $\endgroup$
    – ManInMoon
    Commented Nov 27, 2015 at 17:12
  • $\begingroup$ Can you copy paste the matrices? $\endgroup$ Commented Nov 27, 2015 at 17:44
  • $\begingroup$ This question and the book that the (broken) links go to may be of some interest. $\endgroup$
    – Peter K.
    Commented Nov 27, 2015 at 17:47
  • $\begingroup$ Yes - I had already seen those. But it's nice to talk to someone with personal experience. I am now wondering if I should weight all "off diagonal" values by some constant - perhaps that would make the estimate less jumpy. Or maybe I should have used log difference etc. $\endgroup$
    – ManInMoon
    Commented Nov 27, 2015 at 17:59

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.