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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 the period is too long, then could it be
overtrained? 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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