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Q: Kalman Filter Implemented in Excel ( No Answer,   0 Comments )
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 Subject: Kalman Filter Implemented in Excel Category: Science > Math Asked by: artz-ga List Price: \$100.00 Posted: 29 Nov 2006 21:22 PST Expires: 29 Dec 2006 21:22 PST Question ID: 786871
 ```Background ========== 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. Ability Level ============= 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. Question ======== 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. Deliverables ============ 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. Professional Fees ================= 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. Rating ====== 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.```