I am interested in applying Kalman filtering to economic timeseries.
With some help, I have implemented Gaussian kernel and Silverman's
approximation kernel smoothing techniques in Excel using VBA User
Defined functions (UDF). However, since these are endpoint smoothing
techniques and not true filtering, they are not suitable for my
purpose of filtering (not backward fitting) economic timeseries. I
believe that Kalman filtering is applicable for this, but I do not
have the mathematical horsepower to implement a Kalman filter.
I use Excel and have recently started using VBA. I have some
experience in numerical analysis as well as some practical experience
with timeseries analysis, DSP, forecasting and statistics. I am out of
practice with the matrix algebra used in the Kalman filter.
(covariance matrices, etc.)
Though I have read numerous papers on Kalman filtering, I have not
found enough practical information on how to implement a working
Kalman filter, hence the request for help.
What I need is a Kalman filter implemented in Excel. A spreadsheet
solution using Excel's matrix formulae is acceptable, however, I would
prefer the use of a VBA (User Defined Function) UDF. The data set this
will be applied to is daily Dow Jones data. (closing prices) The Excel
spreadsheet with the Kalman will need to be integrated with my data
downloader spreadsheet which accesses Yahoo finance. I will provide
that as needed.
A Excel file (.xls), the complete VBA listing, detailed and simple
instructions for entering formulae, or whatever it takes for me to
have a working, modifiable, Excel implementation of the Kalman filter.
I prefer that this question be answered by a professional familiar
with Kalman filters and Excel. I have set an initial price of $100
for this work assuming a $50/hour rate irrespective of Google?s
commission. This fee is open to re-negotiation if the scope of this
work exceeds this initial estimate.
A five star rating will require that the work be timely and complete.
VBA code should be well commented. A spreadsheet only implementation
will require a thorough explanation of the spreadsheet mechanics.