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I am reading the following paper:

http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf

and in particular page 13:

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Now I never did a degree in maths (I did engineering) but I am reasonably mathematical. I need therefore quite a bit of help trying to work out how to actually implement the above in code. I am trying to calculate the order rate, lambda_t(p) = exp^(Beta^T x_t).

I found this, which I think may be answering my question:

http://en.wikipedia.org/wiki/Jacobi_method#Example

If the above link is no good, would someone be able to give me a really basic example of how I could calculate beta, so that I can then calculate lambda_t(p) = exp^(Beta^T x_t)? Does anyone know what T is representing?

I wasn't sure if I need to implement newton raphson, as well as the jacobian method, or whether the latter encompasses that.

Help most appreciated,

Thanks

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