Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: kalman
See also: rICfil calibrIC ICerzsep

Quantlet: absepnewton
Description: Auxiliary routine for rICfil: solves - if possible - by explicit integration and Newton-Algorithm the following equations: (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 scalar, efficiency loss to attain;
S1 scalar, variance of X1 (the clipped part of X);
S2 scalar, variance of X2 (the unmodified part of X);
itmax scalar, maximal number of iterations
eps numeric, exactitude
A0 scalar; starting value for a
b0 scalar; starting value for b
aus scalar, decides whether to display the results in the output window [1] or not (otherwise)
Output:
A scalar, Lagrange-Multiplier to achieve Fisher-Consistency
b scalar, clipping height achieving e as relative effiency loss
ctrl numeric, decides whether convergence "happened"

Note:




Author: P. Ruckdeschel, 19991010
(C) MD*TECH Method and Data Technologies, 05.02.2006