In a local level model, or a random-walk coefficient model, the signal-to-noise ratio is , the variance of the state’s daily move over the variance of the observation noise.
Quantitative Finance · المسرد
Quantitative Finance · المسرد
In a local level model, or a random-walk coefficient model, the signal-to-noise ratio is , the variance of the state’s daily move over the variance of the observation noise.