Library: | kalman |
See also: | rICfil calibrIC |
Quantlet: | ew2inn | |
Description: | Auxiliary routine for rICfil: calculates E[ min(t^2,u^2) ] for u being the square root of a Chi^2_p-variable, (recursively in dimension p) |
Usage: | y=ew2inn(t,p) | |
Input: | ||
t | numeric, clipping height | |
p | scalar, dimension of X | |
Output: | ||
y | numeric, y = E[ min(t^2,u^2) ] |
Is called by numint2, numint2m, stointp, stointpm and it calls betrnormF and betrnormV within the kalman.lib itself.