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Hi MG Ferreira:
I am interested on Kalman filter too, in term of training periods
for the net, do you have any suggestion on how to determine the
length of periods? If I can determine it, then the periods for
rescaling based on HHV(Abs(S),periods) will be found, will it be a
good approach?
I remember someone mentioned the ratio for period between training
and out of sample should be following
Training periods: 8
Out of Sample periods: 1
But he never mentioned about the rationale, and used it as a rule of
thumb, do you have any idea?
According to your Message 16564, I have search for Woodes Rogers on
library and amazon, and found a book called "The speculative
strategist", which did mention about Woodes Rogers' approach, but it
is too brief, does it the one you read?
I think I need a few days to digest Kalman filter and to do some
coding on it, and will reply to this topic soon under the same
subject title
Thank you :>
Eric
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