1- Advice on a multivariate time series prediction problem, using Kalman filter and either:- state augmentation to include additional time series data, allowing the filter to incorporate information from related time series when estimating the state of the underlying system- measurement fusion: fusing measurements from multiple related time series into a single observation vector. This combined observation vector is then used as input to the Kalman filter, allowing it to exploit correlations and dependencies among the different time series.2-A program, either commercial or newly written in C*, that will perform such predictions.
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