Technical Forum • Re: Breakthrough in the theory of stochastic differential equations and their simulation
Amin
Friends, before I write full-fledged Newton algorithm for correlation coefficients, it is important to have a secondary algorithm that finds a guess that is good enough to be in the Newton catchment limit for Newton algorithm to work. And tonight, I am trying to write that algorithm. The logic of the new algorithm is very simple. We know that sum of squared correlation coefficients including the effect of cross-correlations have to sum to one. We can use this constraint in a very interesting way