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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: mpdf Class Reference</title>
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9  <ul>
10    <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
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17  <ul>
18    <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
19    <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li>
20    <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li>
21  </ul>
22</div>
23<h1>mpdf Class Reference</h1><!-- doxytag: class="mpdf" -->Conditional probability density, e.g. modeling some dependencies. 
24<a href="#_details">More...</a>
25<p>
26<code>#include &lt;<a class="el" href="libBM_8h-source.html">libBM.h</a>&gt;</code>
27<p>
28<div class="dynheader">
29Inheritance diagram for mpdf:</div>
30<div class="dynsection">
31<p><center><img src="classmpdf__inherit__graph.png" border="0" usemap="#mpdf__inherit__map" alt="Inheritance graph"></center>
32<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
33<div class="dynheader">
34Collaboration diagram for mpdf:</div>
35<div class="dynsection">
36<p><center><img src="classmpdf__coll__graph.png" border="0" usemap="#mpdf__coll__map" alt="Collaboration graph"></center>
37<map name="mpdf__coll__map">
38<area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="21,7,59,33"><area shape="rect" title="rv\nrvc" alt="" coords="32,31,40,39"><area shape="rect" title="rv\nrvc" alt="" coords="27,200,35,208"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="56,105,107,132"><area shape="rect" title="rv" alt="" coords="43,31,51,39"><area shape="rect" title="rv" alt="" coords="72,101,80,109"><area shape="rect" title="ep" alt="" coords="71,129,79,137"><area shape="rect" title="ep" alt="" coords="36,200,44,208"></map>
39<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
40
41<p>
42<a href="classmpdf-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0">
43<tr><td></td></tr>
44<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
45<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#c20c796f8d0a201f0897299150e45a41">samplecond</a> (vec &amp;cond, double lik)</td></tr>
46
47<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="#c20c796f8d0a201f0897299150e45a41"></a><br></td></tr>
48<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0f95a0cc6ab40611f46804682446ed83"></a><!-- doxytag: member="mpdf::condition" ref="0f95a0cc6ab40611f46804682446ed83" args="(const vec &amp;cond)" -->
49virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><b>condition</b> (const vec &amp;cond)</td></tr>
50
51<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="80b738ece5bd4f8c4edaee4b38906f91"></a><!-- doxytag: member="mpdf::evalcond" ref="80b738ece5bd4f8c4edaee4b38906f91" args="(const vec &amp;dt, const vec &amp;cond)" -->
52virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><b>evalcond</b> (const vec &amp;dt, const vec &amp;cond)</td></tr>
53
54<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6788be9f3a888796499c5293a318fcfb"></a><!-- doxytag: member="mpdf::~mpdf" ref="6788be9f3a888796499c5293a318fcfb" args="()" -->
55virtual&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#6788be9f3a888796499c5293a318fcfb">~mpdf</a> ()</td></tr>
56
57<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Destructor for future use;. <br></td></tr>
58<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="581ecf362185d37c08bb31cb9d046d6f"></a><!-- doxytag: member="mpdf::mpdf" ref="581ecf362185d37c08bb31cb9d046d6f" args="(const RV &amp;rv0, const RV &amp;rvc0)" -->
59&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#581ecf362185d37c08bb31cb9d046d6f">mpdf</a> (const <a class="el" href="classRV.html">RV</a> &amp;rv0, const <a class="el" href="classRV.html">RV</a> &amp;rvc0)</td></tr>
60
61<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr>
62<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f6687c07ff07d47812dd565368ca59eb"></a><!-- doxytag: member="mpdf::rv" ref="f6687c07ff07d47812dd565368ca59eb" args="" -->
64<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#f6687c07ff07d47812dd565368ca59eb">rv</a></td></tr>
65
66<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">modeled random variable <br></td></tr>
67<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="acb7dda792b3cd5576f39fa3129abbab"></a><!-- doxytag: member="mpdf::rvc" ref="acb7dda792b3cd5576f39fa3129abbab" args="" -->
68<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#acb7dda792b3cd5576f39fa3129abbab">rvc</a></td></tr>
69
70<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">random variable in condition <br></td></tr>
71<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7aa894208a32f3487827df6d5054424c"></a><!-- doxytag: member="mpdf::ep" ref="7aa894208a32f3487827df6d5054424c" args="" -->
72<a class="el" href="classepdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classmpdf.html#7aa894208a32f3487827df6d5054424c">ep</a></td></tr>
73
74<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">pointer to internal <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> <br></td></tr>
75</table>
76<hr><a name="_details"></a><h2>Detailed Description</h2>
77Conditional probability density, e.g. modeling some dependencies. <hr><h2>Member Function Documentation</h2>
78<a class="anchor" name="c20c796f8d0a201f0897299150e45a41"></a><!-- doxytag: member="mpdf::samplecond" ref="c20c796f8d0a201f0897299150e45a41" args="(vec &amp;cond, double lik)" -->
79<div class="memitem">
80<div class="memproto">
81      <table class="memname">
82        <tr>
83          <td class="memname">virtual vec mpdf::samplecond           </td>
84          <td>(</td>
85          <td class="paramtype">vec &amp;&nbsp;</td>
86          <td class="paramname"> <em>cond</em>, </td>
87        </tr>
88        <tr>
89          <td class="paramkey"></td>
90          <td></td>
91          <td class="paramtype">double&nbsp;</td>
92          <td class="paramname"> <em>lik</em></td><td>&nbsp;</td>
93        </tr>
94        <tr>
95          <td></td>
96          <td>)</td>
97          <td></td><td></td><td width="100%"><code> [inline, virtual]</code></td>
98        </tr>
99      </table>
100</div>
101<div class="memdoc">
102
103<p>
104Returns the required moment of the <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>.
105<p>
106Returns a sample from the density conditioned on <code>cond</code>, $x  <a class="el" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>(rv|cond)$. <dl compact><dt><b>Parameters:</b></dt><dd>
107  <table border="0" cellspacing="2" cellpadding="0">
108    <tr><td valign="top"></td><td valign="top"><em>lik</em>&nbsp;</td><td>is a return value of likelihood of the sample. </td></tr>
109  </table>
110</dl>
111
112</div>
113</div><p>
114<hr>The documentation for this class was generated from the following file:<ul>
115<li>work/mixpp/bdm/stat/<a class="el" href="libBM_8h-source.html">libBM.h</a></ul>
116<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:53 2008 for mixpp by&nbsp;
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