| Usage: |
{A,b,ctrl}=calibrIC(T,Sig,H,F,Q,R,typ,A0,b0,e,N,eps,itmax,expl,fact0,aus)
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| Input: |
| T | number of observations/states to be filtered by rIC
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| Sig | n x n covariance matrix of the initial state
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| H | m x n matrix
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| F | n x n matrix
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| Q | m x m variance-covariance matrix
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| R | n x n variance-covariance matrix
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| typ | integer: either 0 for simultaneous clipping,
1 - for AO-separate-clipping,
2 - for IO-separate-clipping ( !!! not too good - better: mIC to be done later)
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| e | numeric; efficiency loss to attain
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| A0 | p x p; starting value for A; if 0 is entered I^{-1} is taken
else if p>1 and dim(A0)==1 FI^{-1}*A0 is taken
and if p==1 and A0<0 , -A0/FI is taken
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| b0 | numeric; starting value for clipping height; if a nonpositive value is entered
it is set to 1.6 sdv(component to be clipped)
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| N | integer; MC-sample size / integration grid-points
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| eps | numeric; exactitude
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| itmax | integer; maximal number of Iterations
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| expl | numeric (1.5<.<5) ; threshold for the changes in abs. value of A:
beyond this value convergence is uncertain ~ 2
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| fact0 | numeric (1.1< .<1.5 )!; factor determining how fast we descend from b to b ~1.2
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| aus | integer; 0: no output during execution, 1: some output, 2: more output, 3: a lot of output
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| Output: |
| A | T x n x n "vector" of A's |
| b | T vector of clipping heights |
| ctrl | T integer: tells if everything went well in step 1.. T (1 --- 0 else) |