Code and Results for Chapter 4 (Kalman Filtering)

• create_H_matrix.m (creates the random walk H matrix)
  
• equal_variance_kalman_weights.m (Kalman weights assuming equal measurement and process noise)
  
• filter_SPY.m (random walk Kalman filtering of the ticker SPY)
  
• SPY_20100104_20100802.csv (SPY closing price data used for filtering)