 Usage:  {A,b,ctrl}=calibrIC(T,Sig,H,F,Q,R,typ,A0,b0,e,N,eps,itmax,expl,fact0,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 

                         

  typ                    integer: either 0 for simultaneous clipping, 

                         1 - for AO-separate-clipping, 

                         2 - for IO-separate-clipping ( !!! not too good - better: mIC to be done later) 

                         

  e                      numeric; efficiency loss to attain 

                         

  A0                     p x p; starting value for A; if 0 is entered I^{-1} is taken 

                         else if p>1 and dim(A0)==1 FI^{-1}*A0 is taken 

                         and if p==1 and A0<0 , -A0/FI is taken 

                         

  b0                     numeric; starting value for clipping height; if a nonpositive value is entered 

                         it is set to 1.6 sdv(component to be clipped) 

                         

  N                      integer; MC-sample size / integration grid-points 

                         

  eps                    numeric; exactitude 

                         

  itmax                  integer; maximal number of Iterations 

                         

  expl                   numeric (1.5<.<5) ; threshold for the changes in abs. value of A: 

                         beyond this value convergence is uncertain ~ 2 

                         

  fact0                  numeric (1.1< .<1.5 )!; factor determining how fast we descend from b to b ~1.2 

                         

  aus                    integer; 0: no output during execution, 1: some output, 2: more output, 3: a lot of output 

                         

 Output:



  A                      T x n x n "vector" of A's 

                         

  b                      T vector of clipping heights 

                         

  ctrl                   T integer: tells if everything went well in step 1.. T (1 --- 0 else) 

                         

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(C) MD*TECH Method and Data Technologies, 21.9.2000

