Library: | kalman |
See also: | rICfil calibrIC |
Quantlet: | ew2inn | |
Description: | Auxiliary routine for rICfil: calculates E[ min(t^2,u^2) ] for u square root of a Chi^2_p-variable, (recursively in dimension p) |
Usage: | y=ew2inn(t,p) | |
Input: | ||
t | numeric; clipping height | |
p | integer; dimension of X | |
Output: | ||
y | numeric; y=E[ min(t^2,u^2) ] |
Is called by numint2 numint2m stointp stointpm.
Calles [within kalman.lib] betrnormF betrnormV.
to be looked up in rICfil
Library: | kalman |
See also: | rICfil calibrIC |