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

Quantlet: ewinn
Description: Auxiliary routine for rICfil: calculates E[ u min(t,u) ] for u being the square root of a Chi^2_p-variable, (recursively in dimension p)

Usage: y=ewinn(t,p)
Input:
t numeric; clipping height
p integer; dimension of X
Output:
y numeric; y = E[ u min(t,u) ]

Note:




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