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

Macro: calibrLS
Description: Auxiliary routine for rLSfil Calibrates the robust LS- Filter for a given State Space model to a given relative efficiency loss in terms of the MSE in the ideal model. The state-space model is assumed to be in the following form:

y_t = H x_t + v_t

x_t = F x_t-1 + w_t

x_0 ~ (mu,Sig), v_t ~ (0,Q), w_t ~ (0,R)

All parameters are assumed known.


Usage: {b,ctrl}=calibrLS(T,Sig,H,F,Q,R,e,N,eps,itmax,aus)
Input:
T number of observations/states to be filtered by rIC
Sig n x n covariance matrix of the initial state
H m x n matrix
F n x n matrix
Q m x m variance-covariance matrix
R n x n variance-covariance matrix
e numeric; efficiency loss to attain
N integer; MC-sample size / integration grid-points
eps numeric; exactitude
itmax integer; maximal number of Iterations
aus integer; 0: no output during execution, 1: some output, 2: more output, 3: a lot of output
Output:
b T vector of clipping heights
ctrl T integer: tells if everything went well in step 1.. T (1 - 0 else)

Note:

Example:
to be looked up in rlsfil
Result:

Library: kalman
See also: rICfil

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