I really like the AdMit package for Metropolis Hastings Monte Carlo, which readily makes the computation provided the user has an Kernel density estimate.  What's missing from the package is a kernel density estimator though for a multi-variate dataset.  Does anybody have any they recommend for estimating the kernel density of a financial time-series?
Thanks

Steven P. Greiner, Ph.D.
Director of Portfolio Risk
www.FactSet.com/risk



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