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Timestamp:
03/03/08 13:00:32 (17 years ago)
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smidl
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test KF : estimation of R in KF is not possible! Likelihood of y_t is growing when R -> 0

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    r28 r32  
    3131<p><center><img src="classenorm__inherit__graph.png" border="0" usemap="#enorm_3_01sq__T_01_4__inherit__map" alt="Inheritance graph"></center> 
    3232<map name="enorm_3_01sq__T_01_4__inherit__map"> 
    33 <area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="43,84,88,111"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="40,7,91,33"></map> 
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    3434<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    3535<div class="dynheader"> 
    … …  
    3838<p><center><img src="classenorm__coll__graph.png" border="0" usemap="#enorm_3_01sq__T_01_4__coll__map" alt="Collaboration graph"></center> 
    3939<map name="enorm_3_01sq__T_01_4__coll__map"> 
    40 <area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="8,183,53,209"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="5,103,56,129"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="12,7,49,33"><area shape="rect" title="rv" alt="" coords="27,31,35,39"><area shape="rect" title="rv" alt="" coords="27,99,35,107"><area shape="rect" title="R" alt="" coords="93,207,101,215"><area shape="rect" title="R" alt="" coords="77,275,85,283"></map> 
     40<area shape="rect" href="classeEF.html" title="General conjugate exponential family posterior density." alt="" coords="8,183,53,209"><area shape="rect" href="classepdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="5,103,56,129"><area shape="rect" href="classRV.html" title="Class representing variables, most often random variables." alt="" coords="12,7,49,33"><area shape="rect" title="rv" alt="" coords="27,31,35,39"><area shape="rect" title="rv" alt="" coords="27,99,35,107"><area shape="rect" title="_iR\nR" alt="" coords="95,207,103,215"><area shape="rect" title="_iR\nR" alt="" coords="77,291,85,299"></map> 
    4141<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    4242 
    … …  
    4545<tr><td></td></tr> 
    4646<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
    47 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="183891111686898adef0f6ca292e600d"></a><!-- doxytag: member="enorm::enorm" ref="183891111686898adef0f6ca292e600d" args="(RV &amp;rv, vec &amp;mu, sq_T &amp;R)" --> 
    48 &nbsp;</td><td class="memItemRight" valign="bottom"><b>enorm</b> (<a class="el" href="classRV.html">RV</a> &amp;rv, vec &amp;mu, sq_T &amp;R)</td></tr> 
     47<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b5cb487a2570e8109bfdc0df149aa06"></a><!-- doxytag: member="enorm::enorm" ref="7b5cb487a2570e8109bfdc0df149aa06" args="(RV &amp;rv)" --> 
     48&nbsp;</td><td class="memItemRight" valign="bottom"><b>enorm</b> (<a class="el" href="classRV.html">RV</a> &amp;rv)</td></tr> 
     49 
     50<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1394a65caa6e00d42e00cc99b12227af"></a><!-- doxytag: member="enorm::set_parameters" ref="1394a65caa6e00d42e00cc99b12227af" args="(const vec &amp;mu, const sq_T &amp;R)" --> 
     51void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (const vec &amp;<a class="el" href="classenorm.html#71fde0d54bba147e00f612577f95ad20">mu</a>, const sq_T &amp;<a class="el" href="classenorm.html#4ccc8d8514d644ef1c98d8ab023748a1">R</a>)</td></tr> 
    4952 
    5053<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5b5fd142b6b17ea334597960e3fe126a"></a><!-- doxytag: member="enorm::tupdate" ref="5b5fd142b6b17ea334597960e3fe126a" args="(double phi, mat &amp;vbar, double nubar)" --> 
    … …  
    5558void&nbsp;</td><td class="memItemRight" valign="bottom"><b>dupdate</b> (mat &amp;v, double nu=1.0)</td></tr> 
    5659 
    57 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a1a522504c7788dfd7fb733157ee39e"></a><!-- doxytag: member="enorm::tupdate" ref="2a1a522504c7788dfd7fb733157ee39e" args="()" --> 
    58 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#2a1a522504c7788dfd7fb733157ee39e">tupdate</a> ()</td></tr> 
    59  
    60 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">tupdate used in KF <br></td></tr> 
    61 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1b0faf61260de09cf63bf823add5b32"></a><!-- doxytag: member="enorm::dupdate" ref="d1b0faf61260de09cf63bf823add5b32" args="()" --> 
    62 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#d1b0faf61260de09cf63bf823add5b32">dupdate</a> ()</td></tr> 
    63  
    64 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dupdate used in KF <br></td></tr> 
    6560<tr><td class="memItemLeft" nowrap align="right" valign="top">vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#6020bcd89db2c9584bd8871001bd2023">sample</a> ()</td></tr> 
    6661 
    … …  
    7368 
    7469<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute probability of argument <code>val</code>. <br></td></tr> 
    75 <tr><td colspan="2"><br><h2>Public Attributes</h2></td></tr> 
    76 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a4de82a0d7ba9eaf31206318ae35d0d5"></a><!-- doxytag: member="enorm::RNG" ref="a4de82a0d7ba9eaf31206318ae35d0d5" args="" --> 
    77 Normal_RNG&nbsp;</td><td class="memItemRight" valign="bottom"><b>RNG</b></td></tr> 
     70<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9517594915e897584eaebbb057ed8881"></a><!-- doxytag: member="enorm::evalpdflog" ref="9517594915e897584eaebbb057ed8881" args="(const vec &amp;val)" --> 
     71double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#9517594915e897584eaebbb057ed8881">evalpdflog</a> (const vec &amp;val)</td></tr> 
     72 
     73<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Compute log-probability of argument <code>val</code>. <br></td></tr> 
     74<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="191c1220c3ddd0c5f54e78f19b57ebd5"></a><!-- doxytag: member="enorm::mean" ref="191c1220c3ddd0c5f54e78f19b57ebd5" args="()" --> 
     75vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#191c1220c3ddd0c5f54e78f19b57ebd5">mean</a> ()</td></tr> 
     76 
     77<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">return expected value <br></td></tr> 
     78<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3be0cb541ec9b88e5aa3f60307bbc753"></a><!-- doxytag: member="enorm::_mu" ref="3be0cb541ec9b88e5aa3f60307bbc753" args="()" --> 
     79vec *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#3be0cb541ec9b88e5aa3f60307bbc753">_mu</a> ()</td></tr> 
     80 
     81<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">returns a pointer to the internal mean value. Use with Care! <br></td></tr> 
     82<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8725c534863c4fc2bddef0edfb95a740"></a><!-- doxytag: member="enorm::_R" ref="8725c534863c4fc2bddef0edfb95a740" args="(sq_T *&amp;pR, sq_T *&amp;piR)" --> 
     83void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#8725c534863c4fc2bddef0edfb95a740">_R</a> (sq_T *&amp;pR, sq_T *&amp;piR)</td></tr> 
     84 
     85<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">returns pointers to the internal variance and its inverse. Use with Care! <br></td></tr> 
     86<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c9ca4f2ca42568e40ca146168e7f3247"></a><!-- doxytag: member="enorm::_cached" ref="c9ca4f2ca42568e40ca146168e7f3247" args="(bool what)" --> 
     87void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#c9ca4f2ca42568e40ca146168e7f3247">_cached</a> (bool what)</td></tr> 
     88 
     89<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set cache as inconsistent <br></td></tr> 
     90<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
     91<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="71fde0d54bba147e00f612577f95ad20"></a><!-- doxytag: member="enorm::mu" ref="71fde0d54bba147e00f612577f95ad20" args="" --> 
     92vec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#71fde0d54bba147e00f612577f95ad20">mu</a></td></tr> 
     93 
     94<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">mean value <br></td></tr> 
     95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4ccc8d8514d644ef1c98d8ab023748a1"></a><!-- doxytag: member="enorm::R" ref="4ccc8d8514d644ef1c98d8ab023748a1" args="" --> 
     96sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#4ccc8d8514d644ef1c98d8ab023748a1">R</a></td></tr> 
     97 
     98<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Covariance matrix in decomposed form. <br></td></tr> 
     99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="82f39ac49911d7097f4bfe385deba355"></a><!-- doxytag: member="enorm::_iR" ref="82f39ac49911d7097f4bfe385deba355" args="" --> 
     100sq_T&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#82f39ac49911d7097f4bfe385deba355">_iR</a></td></tr> 
     101 
     102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Cache: _iR = inv(R);. <br></td></tr> 
     103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ae12db77283a96e0f14a3eae93dc3bf1"></a><!-- doxytag: member="enorm::cached" ref="ae12db77283a96e0f14a3eae93dc3bf1" args="" --> 
     104bool&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#ae12db77283a96e0f14a3eae93dc3bf1">cached</a></td></tr> 
     105 
     106<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">indicator if <code>_iR</code> is chached <br></td></tr> 
     107<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6938fc390a19cdaf6ad4503fcbaada4e"></a><!-- doxytag: member="enorm::dim" ref="6938fc390a19cdaf6ad4503fcbaada4e" args="" --> 
     108int&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classenorm.html#6938fc390a19cdaf6ad4503fcbaada4e">dim</a></td></tr> 
     109 
     110<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">dimension (redundant from rv.count() for easier coding ) <br></td></tr> 
     111<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74da992e3f5d598da8850b646b79b9d9"></a><!-- doxytag: member="enorm::rv" ref="74da992e3f5d598da8850b646b79b9d9" args="" --> 
     112<a class="el" href="classRV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><b>rv</b></td></tr> 
    78113 
    79114</table> 
    … …  
    112147<hr>The documentation for this class was generated from the following file:<ul> 
    113148<li>work/mixpp/bdm/stat/<a class="el" href="libEF_8h-source.html">libEF.h</a></ul> 
    114 <hr size="1"><address style="text-align: right;"><small>Generated on Mon Feb 18 21:48:43 2008 for mixpp by&nbsp; 
     149<hr size="1"><address style="text-align: right;"><small>Generated on Thu Feb 28 16:54:48 2008 for mixpp by&nbsp; 
    115150<a href="http://www.doxygen.org/index.html"> 
    116151<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.3 </small></address>