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03/06/09 15:03:45 (17 years ago)
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smidl
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correction of ARX tutorial

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  • doc/html/classbdm_1_1Kalman.html

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    33<title>mixpp: bdm::Kalman&lt; sq_T &gt; Class Template Reference</title> 
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    71 <h1>bdm::Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::Kalman" --><!-- doxytag: inherits="bdm::BM" --><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::Kalman&lt; sq_T &gt;:</div> 
    75 <div class="dynsection"> 
    76  
    77 <p><center><img src="classbdm_1_1Kalman.png" usemap="#bdm::Kalman< sq_T >_map" border="0" alt=""></center> 
    78 <map name="bdm::Kalman< sq_T >_map"> 
    79 <area href="classbdm_1_1BM.html" alt="bdm::BM" shape="rect" coords="0,56,132,80"> 
    80 <area href="classbdm_1_1bdmroot.html" alt="bdm::bdmroot" shape="rect" coords="0,0,132,24"> 
    81 </map> 
    82 </div> 
    83  
    84 <p> 
    85 <a href="classbdm_1_1Kalman-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2> 
    86 <h3>template&lt;class sq_T&gt;<br> 
    87  class bdm::Kalman&lt; sq_T &gt;</h3> 
    88  
    89 <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form.  
    90 <p> 
    91 Parameter evolution model:<p class="formulaDsp"> 
    92 <img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_9.png"> 
    93 <p> 
    94  Observation model: <p class="formulaDsp"> 
    95 <img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_10.png"> 
    96 <p> 
    97  Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances. <table border="0" cellpadding="0" cellspacing="0"> 
     71<h1>bdm::Kalman&lt; sq_T &gt; Class Template Reference</h1><!-- doxytag: class="bdm::Kalman" --><!-- doxytag: inherits="bdm::BM" --><a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form.   
     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_1Kalman-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0"> 
    9879<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="025a0196cbcc2e6adb13311f9d3d52b4"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="025a0196cbcc2e6adb13311f9d3d52b4" args="()" --> 
     82&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">Kalman</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="8b22c45cffa949d70b8e5ac92ed5ce25"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="8b22c45cffa949d70b8e5ac92ed5ce25" args="(const Kalman&lt; sq_T &gt; &amp;K0)" --> 
     86&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b22c45cffa949d70b8e5ac92ed5ce25">Kalman</a> (const <a class="el" href="classbdm_1_1Kalman.html">Kalman</a>&lt; sq_T &gt; &amp;K0)</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="3c7fb87fb6b87d08deb6a5a7862da957"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="3c7fb87fb6b87d08deb6a5a7862da957" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)" --> 
     90void&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 sq_T &amp;Q0, const sq_T &amp;R0)</td></tr> 
     91 
     92<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
     93<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::Kalman::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const sq_T &amp;P0)" --> 
     94void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &amp;mu0, const sq_T &amp;P0)</td></tr> 
     95 
     96<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
     97<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4a39330c14eff8d13179e868a1d1aa8c"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="4a39330c14eff8d13179e868a1d1aa8c" args="(const vec &amp;dt)" --> 
     98void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bayes</a> (const vec &amp;dt)</td></tr> 
     99 
     100<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
     101<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " --> 
     102const <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> 
     103 
     104<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     105<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::Kalman::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " --> 
     106const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr> 
     107 
     108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::Kalman::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
     109mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
     110 
     111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::Kalman::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" --> 
     113vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr> 
     114 
     115<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     116<tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr> 
     117<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40f01563651c1e4fe926189e41a6b8ab">_copy_</a> () const </td></tr> 
     118 
     119<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
     120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::Kalman::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
     121virtual 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> 
     122 
     123<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
     124<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> 
     125 
     126<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::Kalman::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " --> 
     127vec&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> 
     128 
     129<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
     130<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> 
     131virtual <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> 
     132 
     133<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> 
     134<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> 
     135virtual <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> 
     136 
     137<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
     138<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
     139<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
     140const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> 
     141 
     142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::Kalman::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
     143void&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> 
     144 
     145<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::Kalman::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" --> 
     146void&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> 
     147 
     148<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
     149double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
     150 
     151<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::Kalman::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
     152void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
     153 
     154<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
     155<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::Kalman::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" --> 
     156<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> 
     157 
     158<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
     159<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::Kalman::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" --> 
     160<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> 
     161 
     162<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
     163<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" --> 
     164int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr> 
     165 
     166<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
     167<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" --> 
     168int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr> 
     169 
     170<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
     171<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" --> 
     172int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr> 
     173 
     174<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
     175<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::Kalman::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" --> 
     176mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr> 
     177 
     178<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
     179<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::Kalman::B" ref="5977b2c81857948a35105f0e7840203c" args="" --> 
     180mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr> 
     181 
     182<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
     183<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::Kalman::C" ref="818eba63a23972786a4579ad30294177" args="" --> 
     184mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr> 
     185 
     186<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
     187<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::Kalman::D" ref="7b56ac423d0654b5755e4f852a870456" args="" --> 
     188mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr> 
     189 
     190<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
     191<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::Kalman::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> 
     192sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> 
     193 
     194<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
     195<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::Kalman::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> 
     196sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> 
     197 
     198<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
     199<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::Kalman::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> 
     200<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> 
     201 
     202<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
     203<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" --> 
     204<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> 
     205 
     206<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
     207<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> 
     208mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> 
     209 
     210<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> gain <br></td></tr> 
     211<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::Kalman::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" --> 
     212vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr> 
     213 
     214<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
     215<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::Kalman::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> 
     216sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> 
     217 
     218<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
     219<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::Kalman::_mu" ref="fa172078091e45561343fa513dd573b0" args="" --> 
     220vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr> 
     221 
     222<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
     223<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::Kalman::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> 
     224sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> 
     225 
     226<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
     227<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
     228<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> 
     229 
     230<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr> 
     231<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" --> 
     232double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> 
     233 
     234<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> 
     235<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" --> 
     236bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> 
     237 
     238<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> 
    99239<tr><td colspan="2"><br><h2>Extension to conditional BM</h2></td></tr> 
    100240<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> 
    … …  
    131271 
    132272<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Option for logging bounds. <br></td></tr> 
    133 <tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
    134 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="025a0196cbcc2e6adb13311f9d3d52b4"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="025a0196cbcc2e6adb13311f9d3d52b4" args="()" --> 
    135 &nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">Kalman</a> ()</td></tr> 
    136  
    137 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Default constructor. <br></td></tr> 
    138 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b22c45cffa949d70b8e5ac92ed5ce25"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="8b22c45cffa949d70b8e5ac92ed5ce25" args="(const Kalman&lt; sq_T &gt; &amp;K0)" --> 
    139 &nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b22c45cffa949d70b8e5ac92ed5ce25">Kalman</a> (const <a class="el" href="classbdm_1_1Kalman.html">Kalman</a>&lt; sq_T &gt; &amp;K0)</td></tr> 
    140  
    141 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr> 
    142 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c7fb87fb6b87d08deb6a5a7862da957"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="3c7fb87fb6b87d08deb6a5a7862da957" args="(const mat &amp;A0, const mat &amp;B0, const mat &amp;C0, const mat &amp;D0, const sq_T &amp;Q0, const sq_T &amp;R0)" --> 
    143 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 sq_T &amp;Q0, const sq_T &amp;R0)</td></tr> 
    144  
    145 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
    146 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9264fc6b173ecb803d2684b883f32c68"></a><!-- doxytag: member="bdm::Kalman::set_est" ref="9264fc6b173ecb803d2684b883f32c68" args="(const vec &amp;mu0, const sq_T &amp;P0)" --> 
    147 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 sq_T &amp;P0)</td></tr> 
    148  
    149 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
    150 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4a39330c14eff8d13179e868a1d1aa8c"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="4a39330c14eff8d13179e868a1d1aa8c" args="(const vec &amp;dt)" --> 
    151 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bayes</a> (const vec &amp;dt)</td></tr> 
    152  
    153 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
    154 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " --> 
    155 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> 
    156  
    157 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    158 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::Kalman::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const " --> 
    159 const <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr> 
    160  
    161 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::Kalman::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
    162 mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
    163  
    164 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    165 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::Kalman::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" --> 
    166 vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr> 
    167  
    168 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    169 <tr><td colspan="2"><div class="groupHeader">Constructors</div></td></tr> 
    170 <tr><td class="memItemLeft" nowrap align="right" valign="top">virtual <a class="el" href="classbdm_1_1BM.html">BM</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40f01563651c1e4fe926189e41a6b8ab">_copy_</a> () const </td></tr> 
    171  
    172 <tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
    173 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::Kalman::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
    174 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> 
    175  
    176 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Batch Bayes rule (columns of Dt are observations). <br></td></tr> 
    177 <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> 
    178  
    179 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0e8ebe61fb14990abe1254bd3dda5fae"></a><!-- doxytag: member="bdm::Kalman::logpred_m" ref="0e8ebe61fb14990abe1254bd3dda5fae" args="(const mat &amp;dt) const " --> 
    180 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> 
    181  
    182 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
    183 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="688d7a2aced1e06aa1c468d73a9e5eba"></a><!-- doxytag: member="bdm::Kalman::epredictor" ref="688d7a2aced1e06aa1c468d73a9e5eba" args="() const " --> 
    184 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> 
    185  
    186 <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> 
    187 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="598b25e3f3d96a5bc00a5faeb5b3c912"></a><!-- doxytag: member="bdm::Kalman::predictor" ref="598b25e3f3d96a5bc00a5faeb5b3c912" args="() const " --> 
    188 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> 
    189  
    190 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
    191 <tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
    192 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::Kalman::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
    193 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> 
    194  
    195 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::Kalman::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
    196 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> 
    197  
    198 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b38d92f17620813ad872d86e01a26e5e"></a><!-- doxytag: member="bdm::Kalman::set_rv" ref="b38d92f17620813ad872d86e01a26e5e" args="(const RV &amp;rv)" --> 
    199 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> 
    200  
    201 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::Kalman::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
    202 double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
    203  
    204 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::Kalman::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
    205 void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
    206  
    207 <tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
    208 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::Kalman::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" 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#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr> 
    210  
    211 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of output rv. <br></td></tr> 
    212 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::Kalman::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" --> 
    213 <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> 
    214  
    215 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> 
    216 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" --> 
    217 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr> 
    218  
    219 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rv.count() <br></td></tr> 
    220 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" --> 
    221 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr> 
    222  
    223 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvy.count() <br></td></tr> 
    224 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" --> 
    225 int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr> 
    226  
    227 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of rvu.count() <br></td></tr> 
    228 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::Kalman::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" --> 
    229 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr> 
    230  
    231 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix A. <br></td></tr> 
    232 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::Kalman::B" ref="5977b2c81857948a35105f0e7840203c" args="" --> 
    233 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr> 
    234  
    235 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix B. <br></td></tr> 
    236 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::Kalman::C" ref="818eba63a23972786a4579ad30294177" args="" --> 
    237 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr> 
    238  
    239 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix C. <br></td></tr> 
    240 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::Kalman::D" ref="7b56ac423d0654b5755e4f852a870456" args="" --> 
    241 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr> 
    242  
    243 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
    244 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::Kalman::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> 
    245 sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> 
    246  
    247 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
    248 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::Kalman::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> 
    249 sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> 
    250  
    251 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
    252 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::Kalman::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> 
    253 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> 
    254  
    255 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
    256 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::Kalman::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" --> 
    257 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; sq_T &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> 
    258  
    259 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
    260 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> 
    261 mat&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> 
    262  
    263 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">placeholder for <a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> gain <br></td></tr> 
    264 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::Kalman::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" --> 
    265 vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr> 
    266  
    267 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
    268 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::Kalman::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> 
    269 sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> 
    270  
    271 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
    272 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::Kalman::_mu" ref="fa172078091e45561343fa513dd573b0" args="" --> 
    273 vec &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr> 
    274  
    275 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
    276 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::Kalman::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> 
    277 sq_T &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> 
    278  
    279 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
    280 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::Kalman::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
    281 <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> 
    282  
    283 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the data (optional). <br></td></tr> 
    284 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4064b6559d962633e4372b12f4cd204a"></a><!-- doxytag: member="bdm::Kalman::ll" ref="4064b6559d962633e4372b12f4cd204a" args="" --> 
    285 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#4064b6559d962633e4372b12f4cd204a">ll</a></td></tr> 
    286  
    287 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Logarithm of marginalized data likelihood. <br></td></tr> 
    288 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="faff0ad12556fe7dc0e2807d4fd938ee"></a><!-- doxytag: member="bdm::Kalman::evalll" ref="faff0ad12556fe7dc0e2807d4fd938ee" args="" --> 
    289 bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee">evalll</a></td></tr> 
    290  
    291 <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> 
    292273</table> 
    293 <hr><h2>Member Function Documentation</h2> 
     274<hr><a name="_details"></a><h2>Detailed Description</h2> 
     275<h3>template&lt;class sq_T&gt;<br> 
     276 class bdm::Kalman&lt; sq_T &gt;</h3> 
     277 
     278<a class="el" href="classbdm_1_1Kalman.html" title="Kalman filter with covariance matrices in square root form.">Kalman</a> filter with covariance matrices in square root form.  
     279<p> 
     280Parameter evolution model:<p class="formulaDsp"> 
     281<img class="formulaDsp" alt="\[ x_t = A x_{t-1} + B u_t + Q^{1/2} e_t \]" src="form_9.png"> 
     282<p> 
     283 Observation model: <p class="formulaDsp"> 
     284<img class="formulaDsp" alt="\[ y_t = C x_{t-1} + C u_t + Q^{1/2} w_t. \]" src="form_10.png"> 
     285<p> 
     286 Where $e_t$ and $w_t$ are independent vectors Normal(0,1)-distributed disturbances. <hr><h2>Member Function Documentation</h2> 
    294287<a class="anchor" name="40f01563651c1e4fe926189e41a6b8ab"></a><!-- doxytag: member="bdm::Kalman::_copy_" ref="40f01563651c1e4fe926189e41a6b8ab" args="() const " --> 
    295288<div class="memitem"> 
    … …  
    310303Copy function required in vectors, Arrays of <a class="el" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities.">BM</a> etc. Have to be DELETED manually! Prototype: <div class="fragment"><pre class="fragment"> BM* <a class="code" href="classbdm_1_1BM.html#40f01563651c1e4fe926189e41a6b8ab">_copy_</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <span class="keyword">new</span> BM(*<span class="keyword">this</span>);}  
    311304</pre></div>  
    312 <p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4">bdm::EKF&lt; sq_T &gt;</a>, and <a class="el" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>.</p> 
     305<p>Reimplemented in <a class="el" href="classbdm_1_1ARX.html#ca0b54c0997cfd567f49377af5def106">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanCh.html#24ce65bdaa538d4d5153d709a929b996">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKF.html#fe9b2e227255ad32dc73df316b7318f4">bdm::EKF&lt; sq_T &gt;</a>, <a class="el" href="classbdm_1_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p> 
    313306 
    314307</div> 
    … …  
    334327<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> 
    335328 
    336 <p>Referenced by <a class="el" href="libBM_8h-source.html#l00650">bdm::BM::logpred_m()</a>.</p> 
     329<p>Referenced by <a class="el" href="libBM_8h-source.html#l00661">bdm::BM::logpred_m()</a>.</p> 
    337330 
    338331</div> 
    … …  
    341334<li><a class="el" href="libKF_8h-source.html">libKF.h</a></ul> 
    342335</div> 
    343 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Mar 4 18:50:19 2009 for mixpp by&nbsp; 
     336<hr size="1"><address style="text-align: right;"><small>Generated on Fri Mar 6 15:01:38 2009 for mixpp by&nbsp; 
    344337<a href="http://www.doxygen.org/index.html"> 
    345 <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address> 
     338<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address> 
    346339</body> 
    347340</html>