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While backtesting a kalman filter model, I hit a performance bottleneck that raised the following question:

Given that all the input data is available for a time range, is it possible to evaluate the end result of the model without calculating each interim step?

While my hunch is that it isn't possible, I wasn't able to find a definitive answer online.

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put on hold as unclear what you're asking by Taylor, Michael Chernick, mkt, kjetil b halvorsen, jpmuc 2 days ago

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  • $\begingroup$ Doesn't this just amount to finding a more efficient model, or of calculating a model? If you know the end result, why would you do additional calculations? $\endgroup$ – mkt Feb 12 at 12:15
  • $\begingroup$ Yes, it amounts to finding a more efficient model. Generally the kalman filter is used as an online model so the recursive calculations are necessary. However, I'm wondering if it's possible to obtain the end result without doing the interim calculations - given that all the data is available $\endgroup$ – bphi Feb 12 at 13:58