| Library: | kalman |
| See also: | rICfil calibrIC ICerz |
| Quantlet: | itera | |
| Description: |
Auxiliary routine for rICfil: - if possible - solves for Lambda~N(0,FI) (FI:: Fisher-Info) A^{-1} =E [ Lambda Lambda' w_b ] (1) w_b=min(1,b/|A Lambda|) using a fixed-point-algorithm |
| Usage: | {A,V,ctrl}=itera(A0,FI,b,N,eps,itmax,expl) | |
| Input: | ||
| A0 | p x p; starting value for A; if 0 is entered I^{-1} is taken if p>1 and dim(A0)==1 I^{-1}*A0 is taken | |
| FI | p x p; Fisher-Information | |
| b | numeric; clipping height | |
| N | integer; MC-sample size / integration grid-points | |
| eps | numeric; exactitude | |
| itmax | integer; maximal number of iterations | |
| expl | numeric; threshold for the changes in abs. value of A: beyond this value convergence is uncertain ~ 4 | |
| Output: | ||
| A | p x p; Lagrange-Multiplyer solving (1) | |
| V | p x p; corresponding Covariance | |
| ctrl | integer; tells if convergence "happened" | |
Is called by ICerz.
Calles [within kalman.lib] numint2 stointp.
to be looked up in rICfil
| Library: | kalman |
| See also: | rICfil calibrIC ICerz |