Library: | kalman |
See also: | rICfil calibrIC ICerzsep |
Macro: | 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" |
The Output produced if aus==1 is not identical with the output parameters. (aus==1) is for interactive use ; success is controlled by "verbal" output. (aus==0) is for other quantlets calling absepnewton; success is controlled by variable "ctrl".
Is called by ICerz ICerzsep
to be looked up in rICfil
Library: | kalman |
See also: | rICfil calibrIC ICerzsep |