Schwartz smith 2 factor model parameter estimation in matlab

The following Matlab project contains the source code and Matlab examples used for schwartz smith 2 factor model parameter estimation. Estimates the model parameters of the 2-factor model presented in Schwartz-Smith(2000) paper(Short-Term Variations and Long-Term Dynamics in Commodity Prices) using MLE and the Kalman filter.

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

Project Files: 

File NameSize
license.txt 1316
data.mat 8600
Kalman_Estimation.m 4762
MainSS.m 11728
ScreenShot.png 24169
Text.txt 2479