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: rICfil calibrIC ICerzsep

Quantlet: stointpm
Description: Auxiliary routine for rICfil: calculates for dimension p>(=)2 (E[ YY' u min(b/|aIhY|,u) ]) and (E[ YY' min(b/|aIhY|,u)^2 ]) for u square root of a Chi^2_p-variable, and Y~ufo(S_2) indep of u by using a polar representation of Lambda:= I^{1/2} Y u, u = | I^{-1/2} Lambda |, Y=I^{-1/2} Lambda /u.

The integrals are evaluated stepwise, first conditioning on Y and calculated "analytically" using Ewinn, Ew2inn and then the outer integration is done by MC-Integration along the directions Y, parametrized by a sin-cos-representation.


Usage: {r,s}=stointpm (aIh,b,N)
Input:
aIh dim: pxp; . A I^{1/2}, I FisherInfo; [sym. pos.semi.def!]
b numeric; clipping height; >0
N numeric; sample size for MC-Integration
Output:
r p x p-dim; r=(E[ YY' u min(b/|aIhY|,u) ])
s p x p-dim; s=(E[ YY' min(b/|aIhY|,u)^2 ])

Note:

Example:

to be looked up in rICfil

Result:


Library: kalman
See also: rICfil calibrIC ICerzsep

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