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 ICerzsep

Quantlet: iteras
Description: Auxiliary routine for rICfil: It solves - if possible - for Lambda1~N(0,S1) and Lambda2~N(0,S2) following equations independently: A^{-1} =E [ Lambda1 Lambda1' w_b ] + E [ Lambda2 Lambda2' ] (1) w_b=min(1,b/|A Lambda1|) using a fixed-point-algorithm

Usage: {A,V,ctrl}=iteras(A0,S1,S2,b,N,eps,itmax,expl)
Input:
A0 p x p matrix, starting value for A; if 0 is entered I^{-1} is taken if p>1 and dim(A0)==1, I^{-1}*A0 is taken
S1 p x p matrix, Covariance of the first (clipped) component
S2 p x p matrix, Covariance of the second (unclipped) component
b numeric, clipping height
N scalar, MC-sample size / integration grid-points
eps numeric, exactitude
itmax scalar, maximal number of iterations
expl numeric; threshold for the changes in absolute value of A: beyond this value convergence is uncertain ~ 4
Output:
A p x p matrix, Lagrange-Multiplier solving (1)
V p x p matrix, corresponding Covariance
ctrl scalar, tells if convergence "happened"

Note:




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