Show
Ignore:
Timestamp:
03/06/09 15:03:45 (16 years ago)
Author:
smidl
Message:

correction of ARX tutorial

Files:
1 modified

Legend:

Unmodified
Added
Removed
  • doc/html/classbdm_1_1EKF.html

    r287 r290  
    22<html><head><meta http-equiv="Content-Type" content="text/html;charset=UTF-8"> 
    33<title>mixpp: bdm::EKF&lt; sq_T &gt; Class Template Reference</title> 
     4<link href="tabs.css" rel="stylesheet" type="text/css"> 
    45<link href="doxygen.css" rel="stylesheet" type="text/css"> 
    5 <link href="tabs.css" rel="stylesheet" type="text/css"> 
    66</head><body> 
    7 <!-- Generated by Doxygen 1.5.6 --> 
     7<!-- Generated by Doxygen 1.5.8 --> 
    88<script type="text/javascript"> 
    99<!-- 
     
    5353      <li><a href="pages.html"><span>Related&nbsp;Pages</span></a></li> 
    5454      <li><a href="modules.html"><span>Modules</span></a></li> 
    55       <li class="current"><a href="classes.html"><span>Classes</span></a></li> 
     55      <li class="current"><a href="annotated.html"><span>Classes</span></a></li> 
    5656      <li><a href="files.html"><span>Files</span></a></li> 
    5757    </ul> 
     
    5959  <div class="tabs"> 
    6060    <ul> 
    61       <li><a href="classes.html"><span>Alphabetical&nbsp;List</span></a></li> 
    6261      <li><a href="annotated.html"><span>Class&nbsp;List</span></a></li> 
     62      <li><a href="classes.html"><span>Class&nbsp;Index</span></a></li> 
    6363      <li><a href="hierarchy.html"><span>Class&nbsp;Hierarchy</span></a></li> 
    6464      <li><a href="functions.html"><span>Class&nbsp;Members</span></a></li> 
     
    6969</div> 
    7070<div class="contents"> 
    71 <h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" --><code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code> 
    72 <p> 
    73 <div class="dynheader"> 
    74 Inheritance diagram for bdm::EKF&lt; sq_T &gt;:</div> 
    75 <div class="dynsection"> 
    76  
    77 <p><center><img src="classbdm_1_1EKF.png" usemap="#bdm::EKF< sq_T >_map" border="0" alt=""></center> 
    78 <map name="bdm::EKF< sq_T >_map"> 
    79 <area href="classbdm_1_1Kalman.html" alt="bdm::Kalman< fsqmat >" shape="rect" coords="0,112,141,136"> 
    80 <area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="0,56,141,80"> 
    81 <area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="0,0,141,24"> 
    82 </map> 
    83 </div> 
    84  
    85 <p> 
    86 <a href="classbdm_1_1EKF-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2> 
    87 <h3>template&lt;class sq_T&gt;<br> 
    88  class bdm::EKF&lt; sq_T &gt;</h3> 
    89  
    90 Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.  
    91 <p> 
    92 An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <table border="0" cellpadding="0" cellspacing="0"> 
     71<h1>bdm::EKF&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::EKF" --><!-- doxytag: inherits="Kalman&lt; fsqmat &gt;" -->Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.   
     72<a href="#_details">More...</a> 
     73<p> 
     74<code>#include &lt;<a class="el" href="libKF_8h-source.html">libKF.h</a>&gt;</code> 
     75<p> 
     76 
     77<p> 
     78<a href="classbdm_1_1EKF-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0"> 
    9379<tr><td></td></tr> 
     80<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
     81<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d087a8bb408d26ac4f5c542746b81059"></a><!-- doxytag: member="bdm::EKF::EKF" ref="d087a8bb408d26ac4f5c542746b81059" args="(RV rvx, RV rvy, RV rvu)" --> 
     82&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059">EKF</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rvx, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a>, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a>)</td></tr> 
     83 
     84<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr> 
     85<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe9b2e227255ad32dc73df316b7318f4"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="fe9b2e227255ad32dc73df316b7318f4" args="() const " --> 
     86<a class="el" href="classbdm_1_1EKF.html">EKF</a>&lt; sq_T &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4">_copy_</a> () const </td></tr> 
     87 
     88<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor <br></td></tr> 
     89<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00fec1a0a6a467eb83fb36c65eba7bcb"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="00fec1a0a6a467eb83fb36c65eba7bcb" args="(diffbifn *pfxu, diffbifn *phxu, const sq_T Q0, const sq_T R0)" --> 
     90void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb">set_parameters</a> (<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *phxu, const sq_T Q0, const sq_T R0)</td></tr> 
     91 
     92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr> 
     93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fb182ecc29b10ca1163cecbf3bcccfa"></a><!-- doxytag: member="bdm::EKF::bayes" ref="3fb182ecc29b10ca1163cecbf3bcccfa" args="(const vec &amp;dt)" --> 
     94void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa">bayes</a> (const vec &amp;dt)</td></tr> 
     95 
     96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
     97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c7fb87fb6b87d08deb6a5a7862da957"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="3c7fb87fb6b87d08deb6a5a7862da957" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;Q0, const fsqmat &amp;R0)" --> 
     98void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;Q0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;R0)</td></tr> 
     99 
     100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
     101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKF::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const fsqmat &amp;P0)" --> 
     102void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;P0)</td></tr> 
     103 
     104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
     105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::EKF::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const" --> 
     106const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890">posterior</a> () const</td></tr> 
     107 
     108<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     109<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const" --> 
     110const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const</td></tr> 
     111 
     112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
     113mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
     114 
     115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     116<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKF::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" --> 
     117vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr> 
     118 
     119<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     120<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
     121<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
     122virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr> 
     123 
     124<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
     125<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr> 
     126 
     127<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKF::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " --> 
     128vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr> 
     129 
     130<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
     131<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKF::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> 
     132virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr> 
     133 
     134<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_49.png">. <br></td></tr> 
     135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKF::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> 
     136virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr> 
     137 
     138<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
     139<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
     140<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
     141const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> 
     142 
     143<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKF::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
     144void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
     145 
     146<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKF::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" --> 
     147void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
     148 
     149<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
     150double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
     151 
     152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
     153void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
     154 
     155<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
     156<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKF::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" --> 
     157<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr> 
     158 
     159<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
     160<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKF::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" --> 
     161<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr> 
     162 
     163<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
     164<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKF::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" --> 
     165int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr> 
     166 
     167<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
     168<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKF::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" --> 
     169int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr> 
     170 
     171<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
     172<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKF::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" --> 
     173int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr> 
     174 
     175<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
     176<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKF::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" --> 
     177mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr> 
     178 
     179<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
     180<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKF::B" ref="5977b2c81857948a35105f0e7840203c" args="" --> 
     181mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr> 
     182 
     183<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
     184<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKF::C" ref="818eba63a23972786a4579ad30294177" args="" --> 
     185mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr> 
     186 
     187<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
     188<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKF::D" ref="7b56ac423d0654b5755e4f852a870456" args="" --> 
     189mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr> 
     190 
     191<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
     192<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKF::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> 
     193<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> 
     194 
     195<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
     196<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKF::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> 
     197<a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> 
     198 
     199<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
     200<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKF::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> 
     201<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> 
     202 
     203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
     204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKF::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" --> 
     205<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> 
     206 
     207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
     208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKF::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> 
     209mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> 
     210 
     211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr> 
     212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKF::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" --> 
     213vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr> 
     214 
     215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
     216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKF::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> 
     217<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> 
     218 
     219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
     220<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKF::_mu" ref="fa172078091e45561343fa513dd573b0" args="" --> 
     221vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr> 
     222 
     223<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
     224<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKF::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> 
     225<a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> 
     226 
     227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
     228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
     229<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> 
     230 
     231<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr> 
     232<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" --> 
     233double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> 
     234 
     235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> 
     236<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" --> 
     237bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> 
     238 
     239<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr> 
    94240<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr> 
    95241<tr><td colspan="2">This extension is useful e.g. in Marginalized Particle Filter (<a class="el" href="classbdm_1_1MPF.html">bdm::MPF</a>). Alternatively, it can be used for automated connection to <a class="el" href="classbdm_1_1DS.html" title="Abstract class for discrete-time sources of data.">DS</a> when the condition is observed <br><br></td></tr> 
     
    126272 
    127273<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Option for logging bounds. <br></td></tr> 
    128 <tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
    129 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d087a8bb408d26ac4f5c542746b81059"></a><!-- doxytag: member="bdm::EKF::EKF" ref="d087a8bb408d26ac4f5c542746b81059" args="(RV rvx, RV rvy, RV rvu)" --> 
    130 &nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#d087a8bb408d26ac4f5c542746b81059">EKF</a> (<a class="el" href="classbdm_1_1RV.html">RV</a> rvx, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a>, <a class="el" href="classbdm_1_1RV.html">RV</a> <a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a>)</td></tr> 
    131  
    132 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr> 
    133 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fe9b2e227255ad32dc73df316b7318f4"></a><!-- doxytag: member="bdm::EKF::_copy_" ref="fe9b2e227255ad32dc73df316b7318f4" args="() const " --> 
    134 <a class="el" href="classbdm_1_1EKF.html">EKF</a>&lt; sq_T &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4">_copy_</a> () const </td></tr> 
    135  
    136 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">copy constructor <br></td></tr> 
    137 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00fec1a0a6a467eb83fb36c65eba7bcb"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="00fec1a0a6a467eb83fb36c65eba7bcb" args="(diffbifn *pfxu, diffbifn *phxu, const sq_T Q0, const sq_T R0)" --> 
    138 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#00fec1a0a6a467eb83fb36c65eba7bcb">set_parameters</a> (<a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *pfxu, <a class="el" href="classbdm_1_1diffbifn.html">diffbifn</a> *phxu, const sq_T Q0, const sq_T R0)</td></tr> 
    139  
    140 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set nonlinear functions for mean values and covariance matrices. <br></td></tr> 
    141 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fb182ecc29b10ca1163cecbf3bcccfa"></a><!-- doxytag: member="bdm::EKF::bayes" ref="3fb182ecc29b10ca1163cecbf3bcccfa" args="(const vec &amp;dt)" --> 
    142 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1EKF.html#3fb182ecc29b10ca1163cecbf3bcccfa">bayes</a> (const vec &amp;dt)</td></tr> 
    143  
    144 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
    145 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c7fb87fb6b87d08deb6a5a7862da957"></a><!-- doxytag: member="bdm::EKF::set_parameters" ref="3c7fb87fb6b87d08deb6a5a7862da957" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const fsqmat &amp;Q0, const fsqmat &amp;R0)" --> 
    146 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957">set_parameters</a> (const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;Q0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;R0)</td></tr> 
    147  
    148 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
    149 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::EKF::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const fsqmat &amp;P0)" --> 
    150 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const <a class="el" href="classfsqmat.html">fsqmat</a> &amp;P0)</td></tr> 
    151  
    152 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
    153 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::EKF::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " --> 
    154 const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890">posterior</a> () const </td></tr> 
    155  
    156 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    157 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " --> 
    158 const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr> 
    159  
    160 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
    161 mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
    162  
    163 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    164 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::EKF::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" --> 
    165 vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr> 
    166  
    167 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    168 <tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
    169 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::EKF::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
    170 virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr> 
    171  
    172 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
    173 <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">logpred</a> (const vec &amp;dt) const </td></tr> 
    174  
    175 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::EKF::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " --> 
    176 vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#0e8ebe61fb14990abe1254bd3dda5fae">logpred_m</a> (const mat &amp;dt) const </td></tr> 
    177  
    178 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
    179 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::EKF::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> 
    180 virtual <a class="el" href="classbdm_1_1epdf.html">epdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#688d7a2aced1e06aa1c468d73a9e5eba">epredictor</a> () const </td></tr> 
    181  
    182 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_49.png">. <br></td></tr> 
    183 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::EKF::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> 
    184 virtual <a class="el" href="classbdm_1_1mpdf.html">mpdf</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">predictor</a> () const </td></tr> 
    185  
    186 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
    187 <tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
    188 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
    189 const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> 
    190  
    191 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::EKF::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
    192 void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
    193  
    194 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::EKF::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" --> 
    195 void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_rv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
    196  
    197 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::EKF::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
    198 double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
    199  
    200 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::EKF::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
    201 void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
    202  
    203 <tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
    204 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::EKF::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" --> 
    205 <a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr> 
    206  
    207 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
    208 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::EKF::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" --> 
    209 <a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr> 
    210  
    211 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
    212 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::EKF::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" --> 
    213 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr> 
    214  
    215 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
    216 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::EKF::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" --> 
    217 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr> 
    218  
    219 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
    220 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::EKF::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" --> 
    221 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr> 
    222  
    223 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
    224 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::EKF::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" --> 
    225 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr> 
    226  
    227 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
    228 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::EKF::B" ref="5977b2c81857948a35105f0e7840203c" args="" --> 
    229 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr> 
    230  
    231 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
    232 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::EKF::C" ref="818eba63a23972786a4579ad30294177" args="" --> 
    233 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr> 
    234  
    235 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
    236 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::EKF::D" ref="7b56ac423d0654b5755e4f852a870456" args="" --> 
    237 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr> 
    238  
    239 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
    240 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKF::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> 
    241 <a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> 
    242  
    243 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
    244 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKF::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> 
    245 <a class="el" href="classfsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> 
    246  
    247 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
    248 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKF::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> 
    249 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> 
    250  
    251 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
    252 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKF::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" --> 
    253 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classfsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> 
    254  
    255 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
    256 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::EKF::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> 
    257 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> 
    258  
    259 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for Kalman gain <br></td></tr> 
    260 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::EKF::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" --> 
    261 vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr> 
    262  
    263 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
    264 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKF::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> 
    265 <a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> 
    266  
    267 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
    268 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::EKF::_mu" ref="fa172078091e45561343fa513dd573b0" args="" --> 
    269 vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr> 
    270  
    271 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
    272 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKF::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> 
    273 <a class="el" href="classfsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> 
    274  
    275 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
    276 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::EKF::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
    277 <a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> 
    278  
    279 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr> 
    280 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::EKF::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" --> 
    281 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> 
    282  
    283 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> 
    284 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::EKF::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" --> 
    285 bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> 
    286  
    287 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr> 
    288274</table> 
    289 <hr><h2>Member Function Documentation</h2> 
     275<hr><a name="_details"></a><h2>Detailed Description</h2> 
     276<h3>template&lt;class sq_T&gt;<br> 
     277 class bdm::EKF&lt; sq_T &gt;</h3> 
     278 
     279Extended <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> Filter.  
     280<p> 
     281An approximation of the exact Bayesian filter with Gaussian noices and non-linear evolutions of their mean. <hr><h2>Member Function Documentation</h2> 
    290282<a class="anchor" name="50257e0c1e5b5c73153ea6e716ad8ae0"></a><!-- doxytag: member="bdm::EKF::logpred" ref="50257e0c1e5b5c73153ea6e716ad8ae0" args="(const vec &amp;dt) const " --> 
    291283<div class="memitem"> 
     
    308300<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">bdm::ARX</a>, <a class="el" href="classbdm_1_1MixEF.html#da724da464a75e07521941e430929efa">bdm::MixEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#e157b607c1e3fa91d42aeea44458e2bf">bdm::multiBM</a>.</p> 
    309301 
    310 <p>Referenced by <a class="el" href="libBM_8h-source.html#l00650">bdm::BM::logpred_m()</a>.</p> 
     302<p>Referenced by <a class="el" href="libBM_8h-source.html#l00661">bdm::BM::logpred_m()</a>.</p> 
    311303 
    312304</div> 
     
    315307<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul> 
    316308</div> 
    317 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 4 18:50:19 2009 for mixpp by&nbsp; 
     309<hr size="1"><address style="text-align: right;"><small>Generated on Fri Mar 6 15:01:38 2009 for mixpp by&nbsp; 
    318310<a href="http://www.doxygen.org/index.html"> 
    319 <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address> 
     311<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address> 
    320312</body> 
    321313</html>