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stochastic correlation
Hi,I am trying to implement the state space model for stochastic correlation with an integration based filter as described in the paper by Ball and Torus http://repositories.cdlib.org/cgi/viewc ... ortunately the results coming out are not good. Has anyone tried implementing this? Did you have to make any corrections to the formulae given in the paper? Any help would be much appreciated. Thanks.
stochastic correlation
ok, I tried to integrate the functions numerically using gauss-hermite integration instead of using the given analytical results in the paper, but still no luck anyone?