Changeset 1077 for library/bdm/estim/kalman.h

Timestamp:

06/10/10 21:40:09 (14 years ago)

Author:

mido

Message:

another update of doc - all bayesian models until bdm::MultiModel? finished
also MixEF::MixEF_options renamed just to MixEF::Options

Files:

• library/bdm/estim/kalman.h (modified) (5 diffs)

library/bdm/estim/kalman.h

@@ -137 +137 @@
         return est;
     }
-    //! load basic elements of Kalman from structure
-    /*! \code
-        class = 'KalmanFull';
-        A     = [];                   // Matrix A
-        B     = [];                   // Matrix B
-        C     = [];                   // Matrix C
-        D     = [];                   // Matrix D
-        Q     = [];                   // Matrix Q
-        R     = [];                   // Matrix R
-        prior = struct('class','epdf_offspring');    // Prior density - will be converted to gaussian
-        yrv   = RV('some_names');     // Description of required observations
-        rvc   = RV('some_names');     // Description of required inputs
-        \endcode
-
-        */
+    
+    /*! Create object from the following structure
+
+    \code
+    class = 'KalmanFull';
+    prior = configuration of bdm::epdf;          % prior density represented by any offspring of epdf, bdm::epdf::from_setting - it will be converted to gaussian
+    --- inherited fields ---
+    bdm::StateSpace<sq_T>::from_setting
+    bdm::BM::from_setting
+    \endcode
+    */
     void from_setting ( const Setting &set ) {
         StateSpace<sq_T>::from_setting ( set );
@@ -242 +238 @@
     void bayes ( const vec &yt, const vec &cond = empty_vec );
 
+    /*! Create object from the following structure
+
+    \code
+    class = 'KalmanCh';
+    --- inherited fields ---
+    bdm::Kalman<chmat>::from_setting
+    \endcode
+    */
     void from_setting ( const Setting &set ) {
         Kalman<chmat>::from_setting ( set );
-        validate();
-    }
+    }
+
     void validate() {
         Kalman<chmat>::validate();
@@ -283 +287 @@
         return est._R().to_mat();
     }
+
+   /*! Create object from the following structure
+
+    \code
+    class = 'EKFfull';
+  
+    OM = configuration of bdm::diffbifn;    % any offspring of diffbifn, bdm::diffbifn::from_setting
+    IM = configuration of bdm::diffbifn;    % any offspring of diffbifn, bdm::diffbifn::from_setting
+    dQ = [...];                             % vector containing diagonal of Q
+    dR = [...];                             % vector containing diagonal of R
+    --- optional fields ---
+    mu0 = [...];                            % vector of statistics mu0
+    dP0 = [...];                            % vector containing diagonal of P0
+    -- or --
+    P0 = [...];                             % full matrix P0
+    --- inherited fields ---
+    bdm::BM::from_setting
+    \endcode
+    If the optional fields are not given, they will be filled as follows:
+    \code
+    mu0 = [0,0,0,....];                     % empty statistics
+    P0 = eye( dim );              
+    \endcode
+    */
     void from_setting ( const Setting &set ) {
         BM::from_setting ( set );
@@ -365 +393 @@
     //! Here dt = [yt;ut] of appropriate dimensions
     void bayes ( const vec &yt, const vec &cond = empty_vec );
-
+    
+    /*! Create object from the following structure
+
+    \code
+    class = 'EKFCh';
+    OM = configuration of bdm::diffbifn;    % any offspring of diffbifn, bdm::diffbifn::from_setting
+    IM = configuration of bdm::diffbifn;    % any offspring of diffbifn, bdm::diffbifn::from_setting
+    dQ = [...];                             % vector containing diagonal of Q
+    dR = [...];                             % vector containing diagonal of R
+    --- optional fields ---
+    mu0 = [...];                            % vector of statistics mu0
+    dP0 = [...];                            % vector containing diagonal of P0
+    -- or --
+    P0 = [...];                             % full matrix P0
+    --- inherited fields ---
+    bdm::BM::from_setting
+    \endcode
+    If the optional fields are not given, they will be filled as follows:
+    \code
+    mu0 = [0,0,0,....];                     % empty statistics
+    P0 = eye( dim );              
+    \endcode
+    */
     void from_setting ( const Setting &set );
 
@@ -481 +531 @@
 State-Space representation of multivariate autoregressive model.
 The original model:
-\f[ y_t = \theta [\ldots y_{t-k}, \ldots u_{t-l}, \ldots z_{t-m}]' + \Sigma^{-1/2} e_t \f]
+\f[ y_t =     heta [\ldots y_{t-k}, \ldots u_{t-l}, \ldots z_{t-m}]' + \Sigma^{-1/2} e_t \f]
 where \f$ k,l,m \f$ are maximum delayes of corresponding variables in the regressor.