I really like the AdMit package for Metropolis Hastings Monte Carlo, which
readily makes the computation provided the user has an Kernel density estimate.
What's missing from the package is a kernel density estimator though for a
multi-variate dataset. Does anybody have any they recommend for estimating the
kernel density of a financial time-series?
Thanks
Steven P. Greiner, Ph.D.
Director of Portfolio Risk
www.FactSet.com/risk
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