Hi Dawid: My apologies. Perhaps, I misunderstood your message.
I am porting a co-author's MatLab code that uses a particle filter to estimate the latent state vector of a stochastic volatility model into Julia
Once this is complete, the goal is to wrap a Metropolis-Hasting simulator around the particle filter code to produce the posterior distribution of this model and its parameters.
Jim On 08/02/2015 02:55 PM, Dawid Crivelli wrote:
Jim, are you porting DMRG code from Matlab to Julia?
