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" |
The output produced if aus==1 is not identical to the output parameters.
(aus==1) is used for the interactive use; success is controlled by textual output.
(aus==0) is used if other quantlets call absepnewton; success is controlled by variable ctrl.
This quantlet is called by ICerz and ICerzsep.