Library: | kalman |
See also: | rICfil |
Quantlet: | calibrIC | |
Description: |
Auxiliary routine for rICfil
Calibrates the robust IC's for a given State Space model
to a given relative efficiency loss in terms of the MSE in the
ideal model.
The state-space model is assumed to be in the
following form: y_t = H x_t + v_t x_t = F x_t-1 + w_t x_0 ~ (mu,Sig), v_t ~ (0,Q), w_t ~ (0,R) All parameters are assumed known.
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Usage: | {A,b,ctrl}=calibrIC(T,Sig,H,F,Q,R,typ,A0,b0,e,N,eps,itmax,expl,fact0,aus) | |
Input: | ||
T | number of observations/states to be filtered by rIC | |
Sig | n x n covariance matrix of the initial state | |
H | m x n matrix | |
F | n x n matrix | |
Q | m x m variance-covariance matrix | |
R | n x n variance-covariance matrix | |
typ | integer: either 0 for simultaneous clipping, 1 - for AO-separate-clipping, 2 - for IO-separate-clipping ( !!! not too good - better: mIC to be done later) | |
e | numeric; efficiency loss to attain | |
A0 | p x p; starting value for A; if 0 is entered I^{-1} is taken else if p>1 and dim(A0)==1 FI^{-1}*A0 is taken and if p==1 and A0<0 , -A0/FI is taken | |
b0 | numeric; starting value for clipping height; if a nonpositive value is entered it is set to 1.6 sdv(component to be clipped) | |
N | integer; MC-sample size / integration grid-points | |
eps | numeric; exactitude | |
itmax | integer; maximal number of Iterations | |
expl | numeric (1.5<.<5) ; threshold for the changes in abs. value of A: beyond this value convergence is uncertain ~ 2 | |
fact0 | numeric (1.1< .<1.5 )!; factor determining how fast we descend from b to b ~1.2 | |
aus | integer; 0: no output during execution, 1: some output, 2: more output, 3: a lot of output | |
Output: | ||
A | T x n x n "vector" of A's | |
b | T vector of clipping heights | |
ctrl | T integer: tells if everything went well in step 1.. T (1 --- 0 else) |
The Output produced if aus>=1 is not identical with the output parameters. (aus>=1) is for interactive use ; success is controlled by "verbal" output. (aus==0) is for other quantlets calling calibrIC: success is controlled by variable "ctrl".
to be looked up in rICfil
Library: | kalman |
See also: | rICfil |