INNER CODE UNIT · Python
v_s
dmarienko/QuantTradingResearch · models/kalman_filter_adjust.py:29
v_s = pd.Series(np.sqrt(evars), index=Y.index)[cut_off]
b_a = pd.DataFrame(b.T, index=Y.index, columns=constituents)[cut_off]
b_a_w = b_a.div(b_a.sum(axis=1), axis=0)
fig(16, 5)
k_prediction = pd.DataFrame(X[constituents].values * b.T, index=Y.index)[cut_off].sum(axis=1)
plt.plot(k_prediction)
plt.plot(Y, 'g'); plt.title('Kalman estimator tracking Russell1000');