| Library: | kalman |
| See also: | rICfil |
| Quantlet: | calibrLS | |
| Description: | Auxiliary routine for rLSfil Calibrates the robust LS- Filter for a given State Space model to a given relative efficiency loss in terms of the MSE in the ideal model. The state-space model is assumed to be in the following form: y_t = H x_t + v_t x_t = F x_t-1 + w_t x_0 ~ (mu,Sig), v_t ~ (0,Q), w_t ~ (0,R) All parameters are assumed known. |
| Usage: | {b,ctrl}=calibrLS(T,Sig,H,F,Q,R,e,N,eps,itmax,aus) | |
| Input: | ||
| T | number of observations/states to be filtered by rIC | |
| Sig | n x n covariance matrix of the initial state | |
| H | m x n matrix | |
| F | n x n matrix | |
| Q | m x m variance-covariance matrix | |
| R | n x n variance-covariance matrix | |
| e | numeric; efficiency loss to attain | |
| N | integer; MC-sample size / integration grid-points | |
| eps | numeric; exactitude | |
| itmax | integer; maximal number of Iterations | |
| aus | integer; 0: no output during execution, 1: some output, 2: more output, 3: a lot of output | |
| Output: | ||
| b | T vector of clipping heights | |
| ctrl | T integer: tells if everything went well in step 1.. T (1 - 0 else) | |
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 calibrLS; success is controlled by variable "ctrl".
to be looked up in rlsfil
n/a