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: absepnewton
Description: Auxiliary routine for rICfil: solves - if possible - by explicit integration and Newton-Algorithm (separate clipping in 1 dimension of normal scores X=X1+X2, X1,X2 indep.)

E [A (X1 \min{1,b/|AX1|} +X2) (X1+X2) ]=1,

E [A^2 (X1 \min{1,b/|AX1|} +X2)^2]=(1+e) /(S1+S2)

for X=X1+X2, X1 ~ N(0,S1), X2 ~ N(0,S2) indep1


Usage: {A,b,ctrl}=absepnewton(e,S1,S2,itmax,eps,A0,b0,aus)
Input:
e numeric; efficiency loss to attain;
S1 numeric; Variance of X1 (the clipped part of X);
S2 numeric; Variance of X2 (the unmodified part of X);
itmax integer; maximal number of iterations
eps numeric; exactitude
A0 numeric; starting value for a
b0 numeric; starting value for b
aus integer; decides whether to write results on output [1] or not (else)
Output:
A numeric; Lagrange-Multiplyer to achieve Fisher-Consistency
b numeric; clipping height achieving e as rel. effiency loss
ctrl numeric; decides whether 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, 21.9.2000