Library
Chapter 9
Model-Based Feature Extraction
Curated summaries of the key literature behind this chapter — the findings, the methods, and how to put them to work.
27 referenced in this chapter
81 further reading
This chapter Library is for Research-to-Production students
R2P students unlock curated summaries of every key paper behind this chapter — the core findings, the methods, and how to apply them — plus resources we keep adding over time.
rlabbe/Kalman-and-Bayesian-Filters-in-Python
Conditional Heteroskedasticity in Asset Returns: A New Approach
A Simple Approximate Long-Memory Model of Realized Volatility
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Advances in Financial Machine Learning
plus 103 more references inside