Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: kalman
See also: rlsfil

Quantlet: rlsbnorm,
Description: Auxiliary routine for rlsfil: solves E [ |X-MYw_b(MY)|^2]=(1+e)E [ |X-MY|^2] - if possible - by MC-integration for X ~ N_n(0,Sigt), v ~ N_m(0,Q) indep.

M=Sigt H'(Q+HSigt H')^{-1}

Y=HX+v, w_b(x)=min(1,b/|x|)


Usage: {b,ctrl}=rlsbnorm(e,Sigt,H,Q,N,eps,itmax)
Input:
e numeric; efficiency loss to attain;
Sigt n x n covariance matrix of the initial state
H m x n matrix
Q m x m variance-covariance matrix
N integer; MC-sample size
eps numeric; exactitude
itmax integer; maximal number of iterations
Output:
b numeric clipping height achieving e as rel. effiency loss
ctrl integer; 1 if error occurs 0 else

Note:

Example:

to be looked up in rlsfil

Result:


Library: kalman
See also: rlsfil

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: P.Ruckdeschel 991010
(C) MD*TECH Method and Data Technologies, 21.9.2000