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 ICerz

Quantlet: itera
Description: Auxiliary routine for rICfil:

- if possible - solves for Lambda~N(0,FI) (FI:: Fisher-Info)

A^{-1} =E [ Lambda Lambda' w_b ] (1)

w_b=min(1,b/|A Lambda|)

using a fixed-point-algorithm


Usage: {A,V,ctrl}=itera(A0,FI,b,N,eps,itmax,expl)
Input:
A0 p x p; starting value for A; if 0 is entered I^{-1} is taken if p>1 and dim(A0)==1 I^{-1}*A0 is taken
FI p x p; Fisher-Information
b numeric; clipping height
N integer; MC-sample size / integration grid-points
eps numeric; exactitude
itmax integer; maximal number of iterations
expl numeric; threshold for the changes in abs. value of A: beyond this value convergence is uncertain ~ 4
Output:
A p x p; Lagrange-Multiplyer solving (1)
V p x p; corresponding Covariance
ctrl integer; tells if convergence "happened"

Note:

Example:

to be looked up in rICfil

Result:


Library: kalman
See also: rICfil calibrIC ICerz

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