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naesseth / smcpy

Library for Bayesian inference using sequential Monte Carlo (particle filter, condensation, genetic, ...) methods.
MIT License
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Test partial adaptation of the SV problem #4

Open naesseth opened 9 years ago

naesseth commented 9 years ago

Implement and test a partial adaptation formalism for the stochastic volatility problem.

Based on the measurement model: y|x ~ N(0,b exp(x)) Approximate exp(x) = 1 + x + x^2/2