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

Macro: iteras
Description: Auxiliary routine for rICfil:

- if possible - solves for Lambda1~N(0,S1),Lambda2~N(0,S2) indep.

A^{-1} =E [ Lambda1 Lambda1' w_b ] + E [ Lambda2 Lambda2' ] (1)

w_b=min(1,b/|A Lambda1|)

using a fixed-point-algorithm


Usage: {A,V,ctrl}=iteras(A0,S1,S2,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
S1 p x p; Covariance of the first (clipped) component
S2 p x p; Covariance of the second (unclipped) component
b numeric; clipping height
N integer; MC-sample size / integration grid-points
eps numeric; exactitude
itmax integer; maximal number of iterastions
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 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, 17.8.2000