80 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="025a0196cbcc2e6adb13311f9d3d52b4"></a><!-- doxytag: member="bdm::Kalman::Kalman" ref="025a0196cbcc2e6adb13311f9d3d52b4" args="()" --> |
81 | | </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#025a0196cbcc2e6adb13311f9d3d52b4">Kalman</a> ()</td></tr> |
82 | | |
83 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Default constructor. <br></td></tr> |
84 | | <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< sq_T > &K0)" --> |
85 | | </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>< sq_T > &K0)</td></tr> |
86 | | |
87 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Copy constructor. <br></td></tr> |
88 | | <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 &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)" --> |
89 | | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3c7fb87fb6b87d08deb6a5a7862da957">set_parameters</a> (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)</td></tr> |
90 | | |
91 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Set parameters with check of relevance. <br></td></tr> |
92 | | <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 &mu0, const sq_T &P0)" --> |
93 | | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#9264fc6b173ecb803d2684b883f32c68">set_est</a> (const vec &mu0, const sq_T &P0)</td></tr> |
94 | | |
95 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Set estimate values, used e.g. in initialization. <br></td></tr> |
96 | | <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 &dt)" --> |
97 | | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4a39330c14eff8d13179e868a1d1aa8c">bayes</a> (const vec &dt)</td></tr> |
98 | | |
99 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Here dt = [yt;ut] of appropriate dimensions. <br></td></tr> |
100 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f75e487ff6c129d7012d702030f8c890"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="f75e487ff6c129d7012d702030f8c890" args="() const " --> |
101 | | const <a class="el" href="classbdm_1_1epdf.html">epdf</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#f75e487ff6c129d7012d702030f8c890">posterior</a> () const </td></tr> |
102 | | |
103 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
104 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c788ec6e6c6f5f5861ae8a56d8ede277"></a><!-- doxytag: member="bdm::Kalman::__K" ref="c788ec6e6c6f5f5861ae8a56d8ede277" args="()" --> |
105 | | mat & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c788ec6e6c6f5f5861ae8a56d8ede277">__K</a> ()</td></tr> |
106 | | |
107 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
108 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a250d1dbe7bba861dba2a324520cfa48"></a><!-- doxytag: member="bdm::Kalman::_dP" ref="a250d1dbe7bba861dba2a324520cfa48" args="()" --> |
109 | | vec </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#a250d1dbe7bba861dba2a324520cfa48">_dP</a> ()</td></tr> |
110 | | |
111 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 80 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d9107617cd5482272ab046849cbfff49"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="d9107617cd5482272ab046849cbfff49" args="(const vec &mu0, const mat &P0)" --> |
| 81 | void </td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &mu0, const mat &P0)</td></tr> |
| 82 | |
| 83 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="28cded9e5f44f654cd383503e4e9694c"></a><!-- doxytag: member="bdm::Kalman::set_statistics" ref="28cded9e5f44f654cd383503e4e9694c" args="(const vec &mu0, const sq_T &P0)" --> |
| 84 | void </td><td class="memItemRight" valign="bottom"><b>set_statistics</b> (const vec &mu0, const sq_T &P0)</td></tr> |
| 85 | |
| 86 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8b0c3db41eb292edb20b826832c9b5fa"></a><!-- doxytag: member="bdm::Kalman::posterior" ref="8b0c3db41eb292edb20b826832c9b5fa" args="() const " --> |
| 87 | const <a class="el" href="classbdm_1_1enorm.html">enorm</a>< sq_T > & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#8b0c3db41eb292edb20b826832c9b5fa">posterior</a> () const </td></tr> |
| 88 | |
| 89 | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior <br></td></tr> |
| 90 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4da2fdd01e9b335b133def9814eb0620"></a><!-- doxytag: member="bdm::Kalman::shared_posterior" ref="4da2fdd01e9b335b133def9814eb0620" args="()" --> |
| 91 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1epdf.html">epdf</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#4da2fdd01e9b335b133def9814eb0620">shared_posterior</a> ()</td></tr> |
| 92 | |
| 93 | <tr><td class="mdescLeft"> </td><td class="mdescRight">shared posterior <br></td></tr> |
| 94 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7fe88fc3471cab1911707bcdb6b4690a"></a><!-- doxytag: member="bdm::Kalman::from_setting" ref="7fe88fc3471cab1911707bcdb6b4690a" args="(const Setting &set)" --> |
| 95 | void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7fe88fc3471cab1911707bcdb6b4690a">from_setting</a> (const Setting &set)</td></tr> |
| 96 | |
| 97 | <tr><td class="mdescLeft"> </td><td class="mdescRight">load basic elements of <a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> from structure <br></td></tr> |
| 98 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="34c508e3a9081be46e57634c2079bff4"></a><!-- doxytag: member="bdm::Kalman::validate" ref="34c508e3a9081be46e57634c2079bff4" args="()" --> |
| 99 | void </td><td class="memItemRight" valign="bottom"><b>validate</b> ()</td></tr> |
| 100 | |
124 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1c314bd6d6dacb8ba78ea5eb88fd9516"></a><!-- doxytag: member="bdm::Kalman::validate" ref="1c314bd6d6dacb8ba78ea5eb88fd9516" args="()" --> |
125 | | virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1root.html#1c314bd6d6dacb8ba78ea5eb88fd9516">validate</a> ()</td></tr> |
126 | | |
127 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">This method TODO. <br></td></tr> |
| 109 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a053883a11a93a979c28c3e6792ce20"></a><!-- doxytag: member="bdm::Kalman::set_parameters" ref="7a053883a11a93a979c28c3e6792ce20" args="(const mat &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)" --> |
| 110 | void </td><td class="memItemRight" valign="bottom"><b>set_parameters</b> (const mat &A0, const mat &B0, const mat &C0, const mat &D0, const sq_T &Q0, const sq_T &R0)</td></tr> |
| 111 | |
| 112 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b1972e00d9b9dd22a0f983c7cb0b8b40"></a><!-- doxytag: member="bdm::Kalman::_dimx" ref="b1972e00d9b9dd22a0f983c7cb0b8b40" args="()" --> |
| 113 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#b1972e00d9b9dd22a0f983c7cb0b8b40">_dimx</a> ()</td></tr> |
| 114 | |
| 115 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 116 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3d83a4b39e05df9fb4246fd6ddc2a60"></a><!-- doxytag: member="bdm::Kalman::_dimy" ref="f3d83a4b39e05df9fb4246fd6ddc2a60" args="()" --> |
| 117 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#f3d83a4b39e05df9fb4246fd6ddc2a60">_dimy</a> ()</td></tr> |
| 118 | |
| 119 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 120 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a238842025a0eaade26d5d79a0e9000e"></a><!-- doxytag: member="bdm::Kalman::_dimu" ref="a238842025a0eaade26d5d79a0e9000e" args="()" --> |
| 121 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a238842025a0eaade26d5d79a0e9000e">_dimu</a> ()</td></tr> |
| 122 | |
| 123 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 124 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a70f6c8ab37f955f408361150e13c47b"></a><!-- doxytag: member="bdm::Kalman::_A" ref="a70f6c8ab37f955f408361150e13c47b" args="()" --> |
| 125 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#a70f6c8ab37f955f408361150e13c47b">_A</a> ()</td></tr> |
| 126 | |
| 127 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 128 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4272982f976ea9d0ea7c9b7182ed7e3c"></a><!-- doxytag: member="bdm::Kalman::_B" ref="4272982f976ea9d0ea7c9b7182ed7e3c" args="()" --> |
| 129 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4272982f976ea9d0ea7c9b7182ed7e3c">_B</a> ()</td></tr> |
| 130 | |
| 131 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 132 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec4c0923e2b5d0c3e5dfe119ffee511e"></a><!-- doxytag: member="bdm::Kalman::_C" ref="ec4c0923e2b5d0c3e5dfe119ffee511e" args="()" --> |
| 133 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#ec4c0923e2b5d0c3e5dfe119ffee511e">_C</a> ()</td></tr> |
| 134 | |
| 135 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 136 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e0757fcc5e0ebaf0bd95f522bf405f06"></a><!-- doxytag: member="bdm::Kalman::_D" ref="e0757fcc5e0ebaf0bd95f522bf405f06" args="()" --> |
| 137 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#e0757fcc5e0ebaf0bd95f522bf405f06">_D</a> ()</td></tr> |
| 138 | |
| 139 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 140 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c908775f27db8d869b93078862a4934"></a><!-- doxytag: member="bdm::Kalman::_Q" ref="4c908775f27db8d869b93078862a4934" args="()" --> |
| 141 | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#4c908775f27db8d869b93078862a4934">_Q</a> ()</td></tr> |
| 142 | |
| 143 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
| 144 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8c94418779eb70f6199fa3467c45f316"></a><!-- doxytag: member="bdm::Kalman::_R" ref="8c94418779eb70f6199fa3467c45f316" args="()" --> |
| 145 | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#8c94418779eb70f6199fa3467c45f316">_R</a> ()</td></tr> |
| 146 | |
| 147 | <tr><td class="mdescLeft"> </td><td class="mdescRight">access function <br></td></tr> |
167 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3fe475a1e920b20b63bb342c0e1571f7"></a><!-- doxytag: member="bdm::Kalman::rvy" ref="3fe475a1e920b20b63bb342c0e1571f7" args="" --> |
168 | | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#3fe475a1e920b20b63bb342c0e1571f7">rvy</a></td></tr> |
169 | | |
170 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Indetifier of output rv. <br></td></tr> |
171 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="149e27424fd1a7cc1c998ea088618a94"></a><!-- doxytag: member="bdm::Kalman::rvu" ref="149e27424fd1a7cc1c998ea088618a94" args="" --> |
172 | | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#149e27424fd1a7cc1c998ea088618a94">rvu</a></td></tr> |
173 | | |
174 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Indetifier of exogeneous rv. <br></td></tr> |
175 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ba7699cdb3b1382a54d3e28b9b7517fa"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="ba7699cdb3b1382a54d3e28b9b7517fa" args="" --> |
176 | | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#ba7699cdb3b1382a54d3e28b9b7517fa">dimx</a></td></tr> |
177 | | |
178 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rv.count() <br></td></tr> |
179 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d2c36ba01760bf207b985bf321b7817f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="d2c36ba01760bf207b985bf321b7817f" args="" --> |
180 | | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#d2c36ba01760bf207b985bf321b7817f">dimy</a></td></tr> |
181 | | |
182 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvy.count() <br></td></tr> |
183 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5136ef617f6ac0e426bea222755d92b"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="c5136ef617f6ac0e426bea222755d92b" args="" --> |
184 | | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c5136ef617f6ac0e426bea222755d92b">dimu</a></td></tr> |
185 | | |
186 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvu.count() <br></td></tr> |
187 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0a2072e2090c10fac74ad30a023a4ace"></a><!-- doxytag: member="bdm::Kalman::A" ref="0a2072e2090c10fac74ad30a023a4ace" args="" --> |
188 | | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#0a2072e2090c10fac74ad30a023a4ace">A</a></td></tr> |
189 | | |
190 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix A. <br></td></tr> |
191 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5977b2c81857948a35105f0e7840203c"></a><!-- doxytag: member="bdm::Kalman::B" ref="5977b2c81857948a35105f0e7840203c" args="" --> |
192 | | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#5977b2c81857948a35105f0e7840203c">B</a></td></tr> |
193 | | |
194 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix B. <br></td></tr> |
195 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="818eba63a23972786a4579ad30294177"></a><!-- doxytag: member="bdm::Kalman::C" ref="818eba63a23972786a4579ad30294177" args="" --> |
196 | | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#818eba63a23972786a4579ad30294177">C</a></td></tr> |
197 | | |
198 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix C. <br></td></tr> |
199 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7b56ac423d0654b5755e4f852a870456"></a><!-- doxytag: member="bdm::Kalman::D" ref="7b56ac423d0654b5755e4f852a870456" args="" --> |
200 | | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#7b56ac423d0654b5755e4f852a870456">D</a></td></tr> |
201 | | |
202 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix D. <br></td></tr> |
203 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="70f8bf19e81b532c60fd3a7a152425ee"></a><!-- doxytag: member="bdm::Kalman::Q" ref="70f8bf19e81b532c60fd3a7a152425ee" args="" --> |
204 | | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#70f8bf19e81b532c60fd3a7a152425ee">Q</a></td></tr> |
205 | | |
206 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> |
207 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="475b088287cdfbba4dc60a3d027728b7"></a><!-- doxytag: member="bdm::Kalman::R" ref="475b088287cdfbba4dc60a3d027728b7" args="" --> |
208 | | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#475b088287cdfbba4dc60a3d027728b7">R</a></td></tr> |
209 | | |
210 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> |
211 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="383f329ff18bbe219254c8b3b916f40d"></a><!-- doxytag: member="bdm::Kalman::est" ref="383f329ff18bbe219254c8b3b916f40d" args="" --> |
212 | | <a class="el" href="classbdm_1_1enorm.html">enorm</a>< sq_T > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#383f329ff18bbe219254c8b3b916f40d">est</a></td></tr> |
213 | | |
214 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior density on $x_t$ <br></td></tr> |
| 190 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="aac28e226fe6cbff5a9ae38d8d025d7a"></a><!-- doxytag: member="bdm::Kalman::yrv" ref="aac28e226fe6cbff5a9ae38d8d025d7a" args="" --> |
| 191 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#aac28e226fe6cbff5a9ae38d8d025d7a">yrv</a></td></tr> |
| 192 | |
| 193 | <tr><td class="mdescLeft"> </td><td class="mdescRight">id of output <br></td></tr> |
| 194 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44d4a8ab05d5311286e1da78b831633e"></a><!-- doxytag: member="bdm::Kalman::urv" ref="44d4a8ab05d5311286e1da78b831633e" args="" --> |
| 195 | <a class="el" href="classbdm_1_1RV.html">RV</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#44d4a8ab05d5311286e1da78b831633e">urv</a></td></tr> |
| 196 | |
| 197 | <tr><td class="mdescLeft"> </td><td class="mdescRight">id of input <br></td></tr> |
| 198 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> |
| 199 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> |
| 200 | |
| 201 | <tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="classbdm_1_1Kalman.html" title="Common abstract base for Kalman filters.">Kalman</a> gain. <br></td></tr> |
| 202 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c83599f2541eb01de329f7b0bb35bf43"></a><!-- doxytag: member="bdm::Kalman::est" ref="c83599f2541eb01de329f7b0bb35bf43" args="" --> |
| 203 | <a class="el" href="classbdm_1_1shared__ptr.html">shared_ptr</a>< <a class="el" href="classbdm_1_1enorm.html">enorm</a>< sq_T > > </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c83599f2541eb01de329f7b0bb35bf43">est</a></td></tr> |
| 204 | |
| 205 | <tr><td class="mdescLeft"> </td><td class="mdescRight">posterior <br></td></tr> |
218 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">preditive density on $y_t$ <br></td></tr> |
219 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bd69dfb802465f22dd84d73a180d5c92"></a><!-- doxytag: member="bdm::Kalman::_K" ref="bd69dfb802465f22dd84d73a180d5c92" args="" --> |
220 | | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#bd69dfb802465f22dd84d73a180d5c92">_K</a></td></tr> |
221 | | |
222 | | <tr><td class="mdescLeft"> </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> |
223 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c249d45258c8578b13858ad3e7b729b1"></a><!-- doxytag: member="bdm::Kalman::_yp" ref="c249d45258c8578b13858ad3e7b729b1" args="" --> |
224 | | vec & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#c249d45258c8578b13858ad3e7b729b1">_yp</a></td></tr> |
225 | | |
226 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of fy.mu <br></td></tr> |
227 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2dd268f2d7fbe6382cb8825a1114192a"></a><!-- doxytag: member="bdm::Kalman::_Ry" ref="2dd268f2d7fbe6382cb8825a1114192a" args="" --> |
228 | | sq_T & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#2dd268f2d7fbe6382cb8825a1114192a">_Ry</a></td></tr> |
229 | | |
230 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of fy.R <br></td></tr> |
231 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa172078091e45561343fa513dd573b0"></a><!-- doxytag: member="bdm::Kalman::_mu" ref="fa172078091e45561343fa513dd573b0" args="" --> |
232 | | vec & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#fa172078091e45561343fa513dd573b0">_mu</a></td></tr> |
233 | | |
234 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of est.mu <br></td></tr> |
235 | | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00c27b0bf324f0018497921ca23c71ed"></a><!-- doxytag: member="bdm::Kalman::_P" ref="00c27b0bf324f0018497921ca23c71ed" args="" --> |
236 | | sq_T & </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1Kalman.html#00c27b0bf324f0018497921ca23c71ed">_P</a></td></tr> |
237 | | |
238 | | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of est.R <br></td></tr> |
| 209 | <tr><td class="mdescLeft"> </td><td class="mdescRight">marginal on data f(y|y) <br></td></tr> |
| 222 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c3120f1c9cd7c3a0ba9944e4a2381f21"></a><!-- doxytag: member="bdm::Kalman::dimx" ref="c3120f1c9cd7c3a0ba9944e4a2381f21" args="" --> |
| 223 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c3120f1c9cd7c3a0ba9944e4a2381f21">dimx</a></td></tr> |
| 224 | |
| 225 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rv.count() <br></td></tr> |
| 226 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3b784d85ca911866225a79193ae1441f"></a><!-- doxytag: member="bdm::Kalman::dimy" ref="3b784d85ca911866225a79193ae1441f" args="" --> |
| 227 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#3b784d85ca911866225a79193ae1441f">dimy</a></td></tr> |
| 228 | |
| 229 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvy.count() <br></td></tr> |
| 230 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95bb59ffbfd34c55d03d4d7a2a9b4faf"></a><!-- doxytag: member="bdm::Kalman::dimu" ref="95bb59ffbfd34c55d03d4d7a2a9b4faf" args="" --> |
| 231 | int </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#95bb59ffbfd34c55d03d4d7a2a9b4faf">dimu</a></td></tr> |
| 232 | |
| 233 | <tr><td class="mdescLeft"> </td><td class="mdescRight">cache of rvu.count() <br></td></tr> |
| 234 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de7d828a8d06cbbd5ac45afeaf9f0c7b"></a><!-- doxytag: member="bdm::Kalman::A" ref="de7d828a8d06cbbd5ac45afeaf9f0c7b" args="" --> |
| 235 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#de7d828a8d06cbbd5ac45afeaf9f0c7b">A</a></td></tr> |
| 236 | |
| 237 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix A. <br></td></tr> |
| 238 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0cdaa906550290b759a1584d02b3ca51"></a><!-- doxytag: member="bdm::Kalman::B" ref="0cdaa906550290b759a1584d02b3ca51" args="" --> |
| 239 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#0cdaa906550290b759a1584d02b3ca51">B</a></td></tr> |
| 240 | |
| 241 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix B. <br></td></tr> |
| 242 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c7ec82d2200c956cff6dff559bd32ff9"></a><!-- doxytag: member="bdm::Kalman::C" ref="c7ec82d2200c956cff6dff559bd32ff9" args="" --> |
| 243 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#c7ec82d2200c956cff6dff559bd32ff9">C</a></td></tr> |
| 244 | |
| 245 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix C. <br></td></tr> |
| 246 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d5769a41b34eb518716120cf04dbc23f"></a><!-- doxytag: member="bdm::Kalman::D" ref="d5769a41b34eb518716120cf04dbc23f" args="" --> |
| 247 | mat </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#d5769a41b34eb518716120cf04dbc23f">D</a></td></tr> |
| 248 | |
| 249 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix D. <br></td></tr> |
| 250 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="66248c83836424f1cd7c1b5b9a92cf1f"></a><!-- doxytag: member="bdm::Kalman::Q" ref="66248c83836424f1cd7c1b5b9a92cf1f" args="" --> |
| 251 | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#66248c83836424f1cd7c1b5b9a92cf1f">Q</a></td></tr> |
| 252 | |
| 253 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix Q in square-root form. <br></td></tr> |
| 254 | <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11dd3493d62ec9329860386adb3e6084"></a><!-- doxytag: member="bdm::Kalman::R" ref="11dd3493d62ec9329860386adb3e6084" args="" --> |
| 255 | sq_T </td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1StateSpace.html#11dd3493d62ec9329860386adb3e6084">R</a></td></tr> |
| 256 | |
| 257 | <tr><td class="mdescLeft"> </td><td class="mdescRight">Matrix R in square-root form. <br></td></tr> |
317 | | <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< sq_T ></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> |
| 316 | <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_1EKFCh.html#1d1d91400e3f177de9fe7962ea17adc4">bdm::EKFCh</a>, and <a class="el" href="classbdm_1_1BMEF.html#62d2e4691bed41a1efa6b9c2e35e5c67">bdm::BMEF</a>.</p> |
| 317 | |
| 318 | </div> |
| 319 | </div><p> |
| 320 | <a class="anchor" name="60b1779a577367c369a932cabd3a6188"></a><!-- doxytag: member="bdm::Kalman::bayes" ref="60b1779a577367c369a932cabd3a6188" args="(const vec &dt)=0" --> |
| 321 | <div class="memitem"> |
| 322 | <div class="memproto"> |
| 323 | <table class="memname"> |
| 324 | <tr> |
| 325 | <td class="memname">virtual void bdm::BM::bayes </td> |
| 326 | <td>(</td> |
| 327 | <td class="paramtype">const vec & </td> |
| 328 | <td class="paramname"> <em>dt</em> </td> |
| 329 | <td> ) </td> |
| 330 | <td><code> [pure virtual, inherited]</code></td> |
| 331 | </tr> |
| 332 | </table> |
| 333 | </div> |
| 334 | <div class="memdoc"> |
| 335 | |
| 336 | <p> |
| 337 | Incremental Bayes rule. |
| 338 | <p> |
| 339 | <dl compact><dt><b>Parameters:</b></dt><dd> |
| 340 | <table border="0" cellspacing="2" cellpadding="0"> |
| 341 | <tr><td valign="top"></td><td valign="top"><em>dt</em> </td><td>vector of input data </td></tr> |
| 342 | </table> |
| 343 | </dl> |
| 344 | |
| 345 | <p>Implemented in <a class="el" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">bdm::ARX</a>, <a class="el" href="classbdm_1_1KalmanFull.html#081924bc97f453f674bb982b7951d053">bdm::KalmanFull</a>, <a class="el" href="classbdm_1_1KalmanCh.html#b41fe5540548100b08e1684c3be767b6">bdm::KalmanCh</a>, <a class="el" href="classbdm_1_1EKFfull.html#f149ae8e9ce14d9931a7bb2850736699">bdm::EKFfull</a>, <a class="el" href="classbdm_1_1EKFCh.html#4c8609c37290b158f88a31dae4047225">bdm::EKFCh</a>, <a class="el" href="classbdm_1_1MultiModel.html#a915deeddb0e94c337d02ebc0abe535e">bdm::MultiModel</a>, <a class="el" href="classbdm_1_1MixEF.html#5bd7da667da183eed1577f11dff0c1f1">bdm::MixEF</a>, <a class="el" href="classbdm_1_1PF.html#638946eea22d4964bf9350286bb4efd8">bdm::PF</a>, <a class="el" href="classbdm_1_1MPF.html#286d040770d08bd7ff416cea617b1b14">bdm::MPF< BM_T ></a>, <a class="el" href="classbdm_1_1BMEF.html#c287f4c0c1ea31b91572ec45351838f1">bdm::BMEF</a>, and <a class="el" href="classbdm_1_1multiBM.html#1e4bf41b61937fd80f34049742e23f95">bdm::multiBM</a>.</p> |
| 346 | |
| 347 | <p>Referenced by <a class="el" href="bdmbase_8cpp-source.html#l00364">bdm::BM::bayesB()</a>.</p> |