I have tried to reproduce the example on page 176 of Schafer's book.
I have used both Joe Schafer's "norm" package and my own code that follows
the psuedocode given on page 168.
The results are below. Both these agree but neither agree with Table 5.1 b
which quotes esimates that converge much faster than the former.
I would be interested in hearing from anyone who has looked at this.
Cheers
Ross Darnell
My version of the psuedocode (in R) gives
t mu_3 sigma_3 rho_13 rho_23
-----------------------------------------------------------
0 200.000 50.0000 0.000000 0.000000
1 214.571 45.8580 0.280948 0.411372
2 219.173 43.8167 0.372608 0.609371
3 220.892 43.4985 0.398496 0.691951
4 221.618 43.6750 0.404261 0.723726
5 221.946 43.8818 0.404878 0.735815
6 222.100 44.0216 0.404501 0.740493
7 222.172 44.1014 0.404109 0.742351
8 222.206 44.1433 0.403854 0.743110
9 222.223 44.1644 0.403711 0.743428
10 222.230 44.1747 0.403636 0.743564
11 222.234 44.1796 0.403598 0.743623
12 222.236 44.1820 0.403580 0.743649
13 222.236 44.1831 0.403571 0.743661
14 222.237 44.1836 0.403566 0.743667
15 222.237 44.1839 0.403564 0.743669
16 222.237 44.1840 0.403563 0.743670
17 222.237 44.1840 0.403563 0.743671
-----------------------------------------------------------
Schafers norm code gives this
t mu_3 sigma_3 rho_13 rho_23
-----------------------------------------------------------
0 200.000 50.0000 0.000000 0.000000
1 214.571 45.8580 0.280948 0.411372
2 219.173 43.8167 0.372608 0.609371
3 220.892 43.4985 0.398496 0.691951
4 221.618 43.6750 0.404261 0.723726
5 221.946 43.8818 0.404878 0.735815
6 222.100 44.0216 0.404501 0.740493
7 222.172 44.1014 0.404109 0.742351
8 222.206 44.1433 0.403854 0.743110
9 222.223 44.1644 0.403711 0.743428
10 222.230 44.1747 0.403636 0.743564
11 222.234 44.1796 0.403598 0.743623
12 222.236 44.1820 0.403580 0.743649
13 222.236 44.1831 0.403571 0.743661
14 222.236 44.1831 0.403571 0.743661
15 222.236 44.1831 0.403571 0.743661
16 222.236 44.1831 0.403571 0.743661
------------------------------------------------------------
