I am trying to estimate to "next" price of a stock, based on a group of 5 other correlated stocks.
I believe this is a 6 state unscented Kalman problem. However, I do not know how to describe
f(). I am measuring the "price" of the stock at end of day. i.e. I get one price per stock per day, and I have a set of 6 stocks.
f() is the deterministic part of the state update equation in the unscented Kalman filter :
x_k+1 = f(x_k) + w_k
I wish to estimate tomorrow's EOD price for stock A, based on an UKF that considers stocks B-F as well. But I don't not need to estimate stocks B-F.
f() look like?