C++ Implementation of a Market Model with Kalman-Filtered Estimates of Alpha and Beta Coefficients.
The RHS and LHS variable data should be in the market.csv and stock.csv files respectively. When compiling you should link to the openblas, lapack, math, and nlopt libraries. For example, use something like:
clang++ -Wall kalman.cpp kalman_forward_pass.cpp -o kalman -lopenblas -llapack -lm -lnlopt