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rlouf committed Feb 25, 2025
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14 changes: 7 additions & 7 deletions algorithms/TemperedSMC.html
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Expand Up @@ -529,7 +529,7 @@ <h3>Experimental Setup<a class="headerlink" href="#experimental-setup" title="Li
</div>
</details>
<div class="cell_output docutils container">
<img alt="../_images/6f61dfea1bb9001169d1079d093ea7623aa4d83ad27d205585fbf1ca5727c21c.png" src="../_images/6f61dfea1bb9001169d1079d093ea7623aa4d83ad27d205585fbf1ca5727c21c.png" />
<img alt="../_images/54e0368571359dc6c4d8c3739c2e2af233261bcbcae93f528f784280386853e2.png" src="../_images/54e0368571359dc6c4d8c3739c2e2af233261bcbcae93f528f784280386853e2.png" />
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Expand Down Expand Up @@ -577,8 +577,8 @@ <h3>Sample with HMC<a class="headerlink" href="#sample-with-hmc" title="Link to
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<div class="output stream highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>CPU times: user 2.25 s, sys: 86.5 ms, total: 2.34 s
Wall time: 2.01 s
<div class="output stream highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>CPU times: user 2.66 s, sys: 109 ms, total: 2.77 s
Wall time: 2.09 s
</pre></div>
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Expand All @@ -598,7 +598,7 @@ <h3>Sample with HMC<a class="headerlink" href="#sample-with-hmc" title="Link to
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<img alt="../_images/b1b00cd6b571e7a9dbc4afda70c64fb426e912faf7b83689aafdb3b122e97f52.png" src="../_images/b1b00cd6b571e7a9dbc4afda70c64fb426e912faf7b83689aafdb3b122e97f52.png" />
<img alt="../_images/ea0a5594c15a9b7c8ef0e7b625360eb3a1b843429bbddafc1a2cfd8050cca0e8.png" src="../_images/ea0a5594c15a9b7c8ef0e7b625360eb3a1b843429bbddafc1a2cfd8050cca0e8.png" />
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</section>
Expand All @@ -620,8 +620,8 @@ <h3>Sample with NUTS<a class="headerlink" href="#sample-with-nuts" title="Link t
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<div class="output stream highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>CPU times: user 45.2 s, sys: 114 ms, total: 45.3 s
Wall time: 44.5 s
<div class="output stream highlight-myst-ansi notranslate"><div class="highlight"><pre><span></span>CPU times: user 41.3 s, sys: 125 ms, total: 41.4 s
Wall time: 40.4 s
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Expand All @@ -641,7 +641,7 @@ <h3>Sample with NUTS<a class="headerlink" href="#sample-with-nuts" title="Link t
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<img alt="../_images/4b99ded2d22196681f215a6f28952204fb1de2ed5b0203b5fa5d7682e9498c47.png" src="../_images/4b99ded2d22196681f215a6f28952204fb1de2ed5b0203b5fa5d7682e9498c47.png" />
<img alt="../_images/3fbeb688ce7df90e4800d60527c8a7174198d4b07900c5750fff16b91d0cbc21.png" src="../_images/3fbeb688ce7df90e4800d60527c8a7174198d4b07900c5750fff16b91d0cbc21.png" />
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4 changes: 2 additions & 2 deletions algorithms/mclmc.html
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Expand Up @@ -687,8 +687,8 @@ <h2>Validate the choice of <span class="math notranslate nohighlight">\(\epsilon
<h2>A more complex example<a class="headerlink" href="#a-more-complex-example" title="Link to this heading">#</a></h2>
<p>We now consider a more complex model, of stock volatility.</p>
<p>The returns <span class="math notranslate nohighlight">\(r_n\)</span> are modeled by a Student’s-t distribution whose scale (volatility) <span class="math notranslate nohighlight">\(R_n\)</span> is time varying and unknown. The prior for <span class="math notranslate nohighlight">\(\log R_n\)</span> is a Gaussian random walk, with an exponential distribution of the random walk step-size <span class="math notranslate nohighlight">\(\sigma\)</span>. An exponential prior is also taken for the Student’s-t degrees of freedom <span class="math notranslate nohighlight">\(\nu\)</span>. The generative process of the data is:</p>
<div class="amsmath math notranslate nohighlight" id="equation-1cc8d9bb-9b1a-4d48-90ac-ff5ef5d0ac15">
<span class="eqno">(1)<a class="headerlink" href="#equation-1cc8d9bb-9b1a-4d48-90ac-ff5ef5d0ac15" title="Permalink to this equation">#</a></span>\[\begin{align}
<div class="amsmath math notranslate nohighlight" id="equation-911250f7-e377-498c-973c-38c3ce3238f3">
<span class="eqno">(1)<a class="headerlink" href="#equation-911250f7-e377-498c-973c-38c3ce3238f3" title="Permalink to this equation">#</a></span>\[\begin{align}
&amp;r_n / R_n \sim \text{Student's-t}(\nu) \qquad
&amp;&amp;\nu \sim \text{Exp}(\lambda = 1/10) \\ \nonumber
&amp;\log R_n \sim \mathcal{N}(\log R_{n-1}, \sigma) \qquad
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2 changes: 1 addition & 1 deletion searchindex.js

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