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Quantitative Finance · Glossary

What is Signal-to-noise ratio?

Definition 19.2 Quantitative Methods · Chapter 19 — State-Space Models and the Kalman Filter

In a local level model, or a random-walk coefficient model, the signal-to-noise ratio is q=Q/Hq = Q/H, the variance of the state’s daily move over the variance of the observation noise.

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