Research & engineering
Blog
Derivations, methods notes and engineering write-ups. Every article includes a BibTeX citation generator.
4 articles
Methodology
Kalman Filtering for Latent Signals in Low Signal-to-Noise Regimes
A derivation-first walkthrough of the Kalman filter as the conditional-mean estimator for a latent state observed through heavy measurement noise, with an explicit account of how process variance controls tracking of non-stationary dynamics.
3 min readMethodology
Shrinkage for High-Dimensional Covariance Estimation
Why the sample covariance matrix becomes unreliable when the number of variables is comparable to the number of observations, and how linear shrinkage restores conditioning with a data-driven intensity.
2 min readEngineering
Deterministic Research Pipelines: Seeds, Fingerprints and Typed Configuration
A practical design for research code in which every result can be traced to an exact configuration, a seed and a content-addressed artifact, so that any estimate can be re-derived by a colleague months later.
3 min readResearch Notes
Walk-Forward Validation Under Non-Stationarity
Why the independence assumptions behind standard cross-validation fail for time-ordered data, how label overlap creates leakage, and how purging and embargoes restore an honest out-of-sample evaluation.
2 min read