Kalman filtering

This project, supervised by Dr. K.A. Lindsay, contributes one paper to the 4H Honours course. The project concerns the use of the Kalman Filter as an applied tool and includes some derivations of background theory. Some knowledge of statistics and the theory of deterministic linear differential equations is assumed but all stochastic work is developed in detail. The theory is applied to the Vasicek model of interest rates. All examples reproduced in the paper can be found in the programming pack.