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Revision 32, 0.7 kB
(checked in by smidl, 18 years ago)
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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 | #include <itpp/itbase.h> |
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| 2 | #include <stat/libEF.h> |
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| 3 | |
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| 4 | using namespace itpp; |
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| 5 | |
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| 6 | //These lines are needed for use of cout and endl |
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| 7 | using std::cout; |
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| 8 | using std::endl; |
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| 9 | |
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| 10 | |
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| 11 | int main() { |
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| 12 | |
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| 13 | vec x = "-10:0.1:10"; |
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| 14 | vec y = "-10:0.1:10"; |
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| 15 | |
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| 16 | RV rv ( "1","{x }","2","0" ); |
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| 17 | vec mu0 = "0.0 0.0"; |
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| 18 | mat V0 ( "5 -0.05; -0.05 5.20" ); |
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| 19 | fsqmat R = fsqmat ( V0 ); |
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| 20 | |
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| 21 | cout << "====== ENorm ====== " <<endl; |
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| 22 | enorm<fsqmat> eN ( rv ); |
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| 23 | eN.set_parameters ( mu0,R ); |
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| 24 | vec pdf = zeros ( x.length() ); |
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| 25 | |
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| 26 | vec pom ( 2 ); |
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| 27 | double suma=0.0; |
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| 28 | |
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| 29 | for ( int i=0;i<x.length();i++ ) { |
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| 30 | for ( int j=0;j<y.length();j++ ) { |
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| 31 | pom ( 0 ) = x ( i ); |
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| 32 | pom ( 1 ) = y ( j ); |
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| 33 | suma+= eN.eval ( pom ); |
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| 34 | } |
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| 35 | } |
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| 36 | |
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| 37 | cout << suma <<endl; |
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| 38 | |
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| 39 | //Exit program: |
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| 40 | return 0; |
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| 41 | |
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| 42 | } |
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