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  • library/doc/html/classbdm_1_1EKF.html

    r472 r538  
    55<link href="doxygen.css" rel="stylesheet" type="text/css"> 
    66</head><body> 
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    99<!-- 
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    7171<a href="#_details">More...</a> 
    7272<p> 
    73 <code>#include &lt;<a class="el" href="kalman_8h_source.html">kalman.h</a>&gt;</code> 
     73<code>#include &lt;<a class="el" href="kalman_8h-source.html">kalman.h</a>&gt;</code> 
    7474<p> 
    7575 
    … …  
    9595<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> 
    9696<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)" --> 
    97 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> 
     97void&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="classbdm_1_1fsqmat.html">fsqmat</a> &amp;Q0, const <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;R0)</td></tr> 
    9898 
    9999<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> 
    100100<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)" --> 
    101 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> 
     101void&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="classbdm_1_1fsqmat.html">fsqmat</a> &amp;P0)</td></tr> 
    102102 
    103103<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> 
    … …  
    106106 
    107107<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
    108 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c34989b1e53c7d4ecdaea63a95ddbd77"></a><!-- doxytag: member="bdm::EKF::_e" ref="c34989b1e53c7d4ecdaea63a95ddbd77" args="() const" --> 
    109 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> 
    110  
    111108<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::EKF::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> 
    112109mat &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> 
    … …  
    151148virtual <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> 
    152149 
    153 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a conditional density 1-step ahead predictor. <br></td></tr> 
     150<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs conditional density of 1-step ahead predictor <img class="formulaInl" alt="$ f(d_{t+1} |d_{t+h-1}, \ldots d_{t}) $" src="form_131.png">. <br></td></tr> 
    154151<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
    155152<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::EKF::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
    … …  
    206203<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix D. <br></td></tr> 
    207204<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::EKF::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> 
    208 <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> 
     205<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> 
    209206 
    210207<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> 
    211208<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::EKF::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> 
    212 <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> 
     209<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> 
    213210 
    214211<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> 
    215212<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::EKF::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> 
    216 <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> 
     213<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> 
    217214 
    218215<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> 
    219216<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba555c394c429f6831c9bbabfa2c944c"></a><!-- doxytag: member="bdm::EKF::fy" ref="ba555c394c429f6831c9bbabfa2c944c" args="" --> 
    220 <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> 
     217<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &gt;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba555c394c429f6831c9bbabfa2c944c">fy</a></td></tr> 
    221218 
    222219<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> 
    … …  
    230227<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.mu <br></td></tr> 
    231228<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::EKF::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> 
    232 <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> 
     229<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> 
    233230 
    234231<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of fy.R <br></td></tr> 
    … …  
    238235<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.mu <br></td></tr> 
    239236<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::EKF::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> 
    240 <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> 
     237<a class="el" href="classbdm_1_1fsqmat.html">fsqmat</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> 
    241238 
    242239<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cache of est.R <br></td></tr> 
    … …  
    315312<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> 
    316313 
    317 <p>Referenced by <a class="el" href="bdmbase_8h_source.html#l00770">bdm::BM::logpred_m()</a>.</p> 
     314<p>Referenced by <a class="el" href="bdmbase_8h-source.html#l00886">bdm::BM::logpred_m()</a>.</p> 
    318315 
    319316</div> 
    320317</div><p> 
    321318<hr>The documentation for this class was generated from the following file:<ul> 
    322 <li><a class="el" href="kalman_8h_source.html">kalman.h</a></ul> 
     319<li><a class="el" href="kalman_8h-source.html">kalman.h</a></ul> 
    323320</div> 
    324 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Aug 5 00:06:58 2009 for mixpp by&nbsp; 
     321<hr size="1"><address style="text-align: right;"><small>Generated on Sun Aug 16 17:58:19 2009 for mixpp by&nbsp; 
    325322<a href="http://www.doxygen.org/index.html"> 
    326 <img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.9 </small></address> 
     323<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.8 </small></address> 
    327324</body> 
    328325</html>