bdm::EKFful_unQR Class Reference

#include <ekf_templ.h>

Inheritance diagram for bdm::EKFful_unQR:

bdm::EKFfull bdm::BMcond bdm::KalmanFull bdm::BM bdm::bdmroot bdm::bdmroot

List of all members.


Detailed Description

Extended Kalman filter with unknown Q and R.

Public Member Functions

 EKFful_unQR ()
 Default constructor.
void condition (const vec &QR0)
 Substitute val for rvc.
void set_parameters (diffbifn *pfxu, diffbifn *phxu, const mat Q0, const mat R0)
 Set nonlinear functions for mean values and covariance matrices.
void bayes (const vec &dt)
 Here dt = [yt;ut] of appropriate dimensions.
void set_est (vec mu0, mat P0)
 set estimates
const epdfposterior () const
 dummy!
const enorm< fsqmat > * _e () const
const mat _R ()
const RV_rvc () const
 access function
Constructors
virtual BM_copy_ ()
Mathematical operations
virtual void bayesB (const mat &Dt)
 Batch Bayes rule (columns of Dt are observations).
virtual double logpred (const vec &dt) const
vec logpred_m (const mat &dt) const
 Matrix version of logpred.
virtual epdfepredictor () const
 Constructs a predictive density $ f(d_{t+1} |d_{t}, \ldots d_{0}) $.
virtual mpdfpredictor () const
 Constructs a conditional density 1-step ahead predictor.
Access to attributes
const RV_drv () const
void set_drv (const RV &rv)
void set_rv (const RV &rv)
double _ll () const
void set_evalll (bool evl0)

Public Attributes

vec mu
 Mean value of the posterior density.
mat P
 Variance of the posterior density.
bool evalll
double ll

Protected Attributes

int dimx
int dimy
int dimu
mat A
mat B
mat C
mat D
mat R
mat Q
mat _Pp
mat _Ry
mat _iRy
mat _K
bool evalll
 If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time.
double ll
 Logarithm of marginalized data likelihood.
RV drv
 Random variable of the data (optional).
int dimc
 dimension of the conditioning variable
RV rvc
 Identificator of the conditioning variable.

Friends

std::ostream & operator<< (std::ostream &os, const KalmanFull &kf)
 print elements of KF

Member Function Documentation

virtual BM* bdm::BM::_copy_ (  )  [inline, virtual, inherited]

Copy function required in vectors, Arrays of BM etc. Have to be DELETED manually! Prototype:

 BM* _copy_(){return new BM(*this);} 

Reimplemented in bdm::ARX.

virtual double bdm::BM::logpred ( const vec &  dt  )  const [inline, virtual, inherited]

Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.

Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.

Referenced by bdm::BM::logpred_m().


The documentation for this class was generated from the following file:

Generated on Wed Feb 18 17:38:59 2009 for mixpp by  doxygen 1.5.6