 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) 

                         

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

