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@aeroandy1 Sorry, for linear kalman filter, f(x) = F*x. It's clear that F is [beta,1] and x seems to be [y].

I know this reply. is old, but I was wondering... in kalman filters, we typically have the following:

• state vector: x,
• process function: f(x)
• process jacobian: F(x) = df/dx
• system covariance: P
• process covariance; Q
• measurement: z
• measurement function: h(x)
• measurement jacobian: H(x) = dh/dx
• measurement covariance: R
• kalman gain: K

Can you please clarify:

• what is your state vector,x?
• measurement covariance, R?

Ref: https://en.wikipedia.org/wiki/Kalman_filter

Thank you!

I tried running the first example that fetches a data feed, and got this:

% ./bt1.py
Starting Portfolio Value: 5000.00
Traceback (most recent call last):
File "/Users/andy/Documents/bt/./bt1.py", line 39, in <module>
cerebro.run()
File "/usr/local/lib/python3.9/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/usr/local/lib/python3.9/site-packages/backtrader/cerebro.py", line 1210, in runstrategies
data._start()
File "/usr/local/lib/python3.9/site-packages/backtrader/feed.py", line 203, in _start
self.start()
File "/usr/local/lib/python3.9/site-packages/backtrader/feeds/yahoo.py", line 94, in start
super(YahooFinanceCSVData, self).start()
File "/usr/local/lib/python3.9/site-packages/backtrader/feed.py", line 674, in start
self.f = io.open(self.p.dataname, 'r')
FileNotFoundError: [Errno 2] No such file or directory: '/Users/xxxx/Documents/bt/datas/orcl-1995-2014.txt'

Any thoughts? Should I have downloaded the orcl file first?