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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">
2<html><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
3<title>mixpp: Graphical Class Hierarchy</title>
4<link href="doxygen.css" rel="stylesheet" type="text/css">
5<link href="tabs.css" rel="stylesheet" type="text/css">
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7<!-- Generated by Doxygen 1.5.3 -->
8<div class="tabs">
9  <ul>
10    <li><a href="index.html"><span>Main&nbsp;Page</span></a></li>
11    <li class="current"><a href="annotated.html"><span>Classes</span></a></li>
12    <li><a href="files.html"><span>Files</span></a></li>
13    <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li>
14  </ul>
15</div>
16<div class="tabs">
17  <ul>
18    <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li>
19    <li class="current"><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>mixpp Graphical Class Hierarchy</h1><a href="hierarchy.html">Go to the textual class hierarchy</a>
24<p>
25<table border="0" cellspacing="10" cellpadding="0">
26<tr><td><img src="inherit__graph__0.png" border="0" alt="" usemap="#BMcond_map">
27<map name="BMcond_map">
28<area shape="rect" href="classBM.html" title="Bayesian Model of the world, i.e. all uncertainty is modeled by probabilities." alt="" coords="5,56,48,83"><area shape="rect" href="classKalman.html" title="Kalman filter with covariance matrices in square root form." alt="" coords="101,5,229,32"><area shape="rect" href="classKalman.html" title="Kalman\&lt; ldmat \&gt;" alt="" coords="97,56,233,83"><area shape="rect" href="classPF.html" title="Trivial particle filter with proposal density equal to parameter evolution model..." alt="" coords="147,157,184,184"><area shape="rect" href="classEKF.html" title="Extended Kalman Filter." alt="" coords="288,56,392,83"><area shape="rect" href="classKFcondQR.html" title="Kalman Filter with conditional diagonal matrices R and Q." alt="" coords="296,107,384,133"><area shape="rect" href="classMPF.html" title="Marginalized Particle filter." alt="" coords="283,157,397,184"><area shape="rect" href="classBMcond.html" title="Conditional Bayesian Filter." alt="" coords="129,107,201,133"></map></td></tr>
29<tr><td><img src="inherit__graph__1.png" border="0" alt="" usemap="#DS_map">
30<map name="DS_map">
31<area shape="rect" href="classDS.html" title="Abstract class for discrete&#45;time sources of data." alt="" coords="7,5,47,32"><area shape="rect" href="classMemDS.html" title="Class representing off&#45;line data stored in memory." alt="" coords="96,5,171,32"></map></td></tr>
32<tr><td><img src="inherit__graph__2.png" border="0" alt="" usemap="#epdf_map">
33<map name="epdf_map">
34<area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="5,132,56,159"><area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="112,56,157,83"><area shape="rect" href="classeEmp.html" title="Weighted empirical density." alt="" coords="105,107,164,133"><area shape="rect" href="classemix.html" title="Weighted mixture of epdfs with external owned components." alt="" coords="108,157,161,184"><area shape="rect" href="classeuni.html" title="Uniform distributed density on a rectangular support." alt="" coords="111,208,159,235"><area shape="rect" href="classegamma.html" title="Gamma posterior density." alt="" coords="239,5,319,32"><area shape="rect" href="classenorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix." alt="" coords="219,56,339,83"><area shape="rect" href="classenorm.html" title="enorm\&lt; ldmat \&gt;" alt="" coords="213,107,344,133"></map></td></tr>
35<tr><td><img src="inherit__graph__3.png" border="0" alt="" usemap="#fnc_map">
36<map name="fnc_map">
37<area shape="rect" href="classfnc.html" title="Class representing function $f(x)$ of variable $x$ represented by rv." alt="" coords="7,56,47,83"><area shape="rect" href="classconstfn.html" title="class representing function $f(x) = a$, here rv is empty" alt="" coords="96,5,165,32"><area shape="rect" href="classdiffbifn.html" title="Class representing a differentiable function of two variables $f(x,u)$." alt="" coords="97,56,164,83"><area shape="rect" href="classlinfn.html" title="Class representing function $f(x) = Ax+B$." alt="" coords="107,107,155,133"><area shape="rect" href="classbilinfn.html" title="Class representing function $f(x,u) = Ax+Bu$." alt="" coords="213,56,272,83"></map></td></tr>
38<tr><td><img src="inherit__graph__4.png" border="0" alt="" usemap="#itpp_1_1Gamma__RNG_map">
39<map name="itpp_1_1Gamma__RNG_map">
40<area shape="rect" href="classitpp_1_1Gamma__RNG.html" title="Gamma distribution." alt="" coords="5,5,149,32"></map></td></tr>
41<tr><td><img src="inherit__graph__5.png" border="0" alt="" usemap="#KalmanFull_map">
42<map name="KalmanFull_map">
43<area shape="rect" href="classKalmanFull.html" title="Basic Kalman filter with full matrices (education purpose only)! Will be deleted..." alt="" coords="5,5,96,32"></map></td></tr>
44<tr><td><img src="inherit__graph__6.png" border="0" alt="" usemap="#mgamma_map">
45<map name="mgamma_map">
46<area shape="rect" href="classmgamma.html" title="Gamma random walk." alt="" coords="5,5,91,32"></map></td></tr>
47<tr><td><img src="inherit__graph__7.png" border="0" alt="" usemap="#mlnorm_3_01sq__T_01_4_map">
48<map name="mlnorm_3_01sq__T_01_4_map">
49<area shape="rect" href="classmlnorm.html" title="Normal distributed linear function with linear function of mean value;." alt="" coords="7,5,135,32"></map></td></tr>
50<tr><td><img src="inherit__graph__8.png" border="0" alt="" usemap="#mpdf_map">
51<map name="mpdf_map">
52<area shape="rect" href="classmpdf.html" title="Conditional probability density, e.g. modeling some dependencies." alt="" coords="5,5,61,32"></map></td></tr>
53<tr><td><img src="inherit__graph__9.png" border="0" alt="" usemap="#RV_map">
54<map name="RV_map">
55<area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="7,5,44,32"></map></td></tr>
56<tr><td><img src="inherit__graph__10.png" border="0" alt="" usemap="#sqmat_map">
57<map name="sqmat_map">
58<area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="7,5,68,32"><area shape="rect" href="classfsqmat.html" title="Fake sqmat. This class maps sqmat operations to operations on full matrix." alt="" coords="119,5,185,32"></map></td></tr>
59</table>
60<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:58 2008 for mixpp by&nbsp;
61<a href="http://www.doxygen.org/index.html">
62<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>
63</body>
64</html>
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