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Thank you for the video! I was wondering if data (for e.g. price), that went through Kalman filters can also be used as additional dimension in a multivariate time series model? Or should it only be applied to pairs?
Thank you for the video! I was wondering if data (for e.g. price), that went through Kalman filters can also be used as additional dimension in a multivariate time series model? Or should it only be applied to pairs?