If you enjoyed this, you might also like this article from my blog: http://heinrichhartmann.com/blog/2014/12/11/Generative-Models-for-Time-Series.html http://h

If you enjoyed this, you might also like this article from my blog: http://heinrichhartmann.com/blog/2014/12/11/Generative-Models-for-Time-Series.html http://heinrichhartmann.com/blog/2014/12/11/Generative-Model... This is a study of generating time series/stochastic processes. The estimators for the parameters lead straight up to Kalman filters. The state space models are taken from the Kalman setup. This was the first time I understood how Kalman filters come about. Its really a three step process: 1. Stationary processes --> Classical parameter estimation. 2. Discrete state space --> Markov models 3. Continues state space --> Kalman filters.