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) ] |
This quantlet is called by numint2, numint2m, stointp, stointpm and it calls betrnormE betrnormV within kalman.lib itself.