| 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" | |
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 |