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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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1<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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3<title>mixpp: egamma Class Reference</title>
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23<h1>egamma Class Reference</h1><!-- doxytag: class="egamma" --><!-- doxytag: inherits="eEF" -->Gamma posterior density. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libEF_8h-source.html">libEF.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for egamma:</div>
30<div class="dynsection">
31<p><center><img src="classegamma__inherit__graph.png" border="0" usemap="#egamma__inherit__map" alt="Inheritance graph"></center>
32<map name="egamma__inherit__map">
33<area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="23,84,68,111"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="20,7,71,33"></map>
34<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
35<div class="dynheader">
36Collaboration diagram for egamma:</div>
37<div class="dynsection">
38<p><center><img src="classegamma__coll__graph.png" border="0" usemap="#egamma__coll__map" alt="Collaboration graph"></center>
39<map name="egamma__coll__map">
40<area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="23,183,68,209"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="20,103,71,129"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="27,7,64,33"><area shape="rect" title="rv" alt="" coords="41,31,49,39"><area shape="rect" title="rv" alt="" coords="41,99,49,107"></map>
41<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
42
43<p>
44<a href="classegamma-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
45<tr><td></td></tr>
46<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
47<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4b1d34f3b244ea51a58ec10c468788c1"></a><!-- doxytag: member="egamma::egamma" ref="4b1d34f3b244ea51a58ec10c468788c1" args="(const RV &amp;rv)" -->
48&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classegamma.html#4b1d34f3b244ea51a58ec10c468788c1">egamma</a> (const <a class="el" href="classRV.html">RV</a> &amp;rv)</td></tr>
49
50<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8e348b89be82b70471fe8c5630f61339"></a><!-- doxytag: member="egamma::set_parameters" ref="8e348b89be82b70471fe8c5630f61339" args="(const vec &amp;a, const vec &amp;b)" -->
52void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classegamma.html#8e348b89be82b70471fe8c5630f61339">set_parameters</a> (const vec &amp;a, const vec &amp;b)</td></tr>
53
54<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Sets parameters. <br></td></tr>
55<tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classegamma.html#0a2186a586432c2c3f22d09c5341890f">sample</a> ()</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.  <a href="#0a2186a586432c2c3f22d09c5341890f"></a><br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44bf6a5361059cf7a219bc9f68ff570a"></a><!-- doxytag: member="egamma::sample" ref="44bf6a5361059cf7a219bc9f68ff570a" args="(int N)" -->
59mat&nbsp;</td><td class="memItemRight" valign="bottom"><b>sample</b> (int N)</td></tr>
60
61<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fdf5819ed32377d364d6e0f8e8d30868"></a><!-- doxytag: member="egamma::evalpdflog" ref="fdf5819ed32377d364d6e0f8e8d30868" args="(const vec val)" -->
62double&nbsp;</td><td class="memItemRight" valign="bottom"><b>evalpdflog</b> (const vec val)</td></tr>
63
64<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44445c56e60b91b377f207f8d5089790"></a><!-- doxytag: member="egamma::_param" ref="44445c56e60b91b377f207f8d5089790" args="(vec *&amp;a, vec *&amp;b)" -->
65void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classegamma.html#44445c56e60b91b377f207f8d5089790">_param</a> (vec *&amp;a, vec *&amp;b)</td></tr>
66
67<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns poiter to alpha and beta. Potentially dengerous: use with care! <br></td></tr>
68<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6617890ffa40767fc196876534d4119d"></a><!-- doxytag: member="egamma::mean" ref="6617890ffa40767fc196876534d4119d" args="()" -->
69vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classegamma.html#6617890ffa40767fc196876534d4119d">mean</a> ()</td></tr>
70
71<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return expected value <br></td></tr>
72<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fd88bc35550ec8fe9281d358216d0fcf"></a><!-- doxytag: member="egamma::tupdate" ref="fd88bc35550ec8fe9281d358216d0fcf" args="(double phi, mat &amp;vbar, double nubar)" -->
73virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>tupdate</b> (double phi, mat &amp;vbar, double nubar)</td></tr>
74
75<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5863718c3b2fb1496dece10c5b745d5c"></a><!-- doxytag: member="egamma::dupdate" ref="5863718c3b2fb1496dece10c5b745d5c" args="(mat &amp;v, double nu=1.0)" -->
76virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>dupdate</b> (mat &amp;v, double nu=1.0)</td></tr>
77
78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f333ceeb88ebc37d81fcd4cea4526bfc"></a><!-- doxytag: member="egamma::eval" ref="f333ceeb88ebc37d81fcd4cea4526bfc" args="(const vec &amp;val)" -->
79virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classepdf.html#f333ceeb88ebc37d81fcd4cea4526bfc">eval</a> (const vec &amp;val)</td></tr>
80
81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute probability of argument <code>val</code>. <br></td></tr>
82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="113c76c61d20e3f2a24ba322a73dfc51"></a><!-- doxytag: member="egamma::evalpdflog" ref="113c76c61d20e3f2a24ba322a73dfc51" args="(const vec &amp;val)" -->
83virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classepdf.html#113c76c61d20e3f2a24ba322a73dfc51">evalpdflog</a> (const vec &amp;val)</td></tr>
84
85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute log-probability of argument <code>val</code>. <br></td></tr>
86<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
87<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="376cebd8932546c440f21b182910b01b"></a><!-- doxytag: member="egamma::alpha" ref="376cebd8932546c440f21b182910b01b" args="" -->
88vec&nbsp;</td><td class="memItemRight" valign="bottom"><b>alpha</b></td></tr>
89
90<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cfc5f136467488a421ab22f886323790"></a><!-- doxytag: member="egamma::beta" ref="cfc5f136467488a421ab22f886323790" args="" -->
91vec&nbsp;</td><td class="memItemRight" valign="bottom"><b>beta</b></td></tr>
92
93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74da992e3f5d598da8850b646b79b9d9"></a><!-- doxytag: member="egamma::rv" ref="74da992e3f5d598da8850b646b79b9d9" args="" -->
94<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>rv</b></td></tr>
95
96</table>
97<hr><a name="_details"></a><h2>Detailed Description</h2>
98Gamma posterior density.
99<p>
100Multvariate Gamma density as product of independent univariate densities. <p class="formulaDsp">
101<img class="formulaDsp" alt="\[ f(x|a,b) = \prod f(x_i|a_i,b_i) \]" src="form_4.png">
102<p>
103 <hr><h2>Member Function Documentation</h2>
104<a class="anchor" name="0a2186a586432c2c3f22d09c5341890f"></a><!-- doxytag: member="egamma::sample" ref="0a2186a586432c2c3f22d09c5341890f" args="()" -->
105<div class="memitem">
106<div class="memproto">
107      <table class="memname">
108        <tr>
109          <td class="memname">vec egamma::sample           </td>
110          <td>(</td>
111          <td class="paramname">          </td>
112          <td>&nbsp;)&nbsp;</td>
113          <td width="100%"><code> [virtual]</code></td>
114        </tr>
115      </table>
116</div>
117<div class="memdoc">
118
119<p>
120Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.
121<p>
122Returns a sample from the density, <img class="formulaInl" alt="$x \sim epdf(rv)$" src="form_3.png"> 
123<p>Implements <a class="el" href="classepdf.html#7f74d871d50b9ff360f1b3879092a9fa">epdf</a>.</p>
124
125</div>
126</div><p>
127<hr>The documentation for this class was generated from the following files:<ul>
128<li>work/mixpp/bdm/stat/<a class="el" href="libEF_8h-source.html">libEF.h</a><li>work/mixpp/bdm/stat/libEF.cpp</ul>
129<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:45 2008 for mixpp by&nbsp;
130<a href="http://www.doxygen.org/index.html">
131<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
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