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auxvar
AUXVAR Auxiliary variables for the parameter estimation schemes. MAXITER: The maximum number of iterations to be performed when search- ing for the minimum. Default is MAXITER=10. With MAXITER=0 only a non- iterative initial value estimation procedure is carried out. TOL: The iterations are continued until the candidate update vector has a norm less than TOL. Default is TOL=0.01. This norm is measured as the expected improvment of fit, expressed in percent. The iterations are also terminated when MAXITER is reached, or when the search procedure fails to find a lower value of the criterion along the candidate direction (first Gauss-Newton, then gradient). LIM: The criterion is robustified, so that a residual that is larger than LIM*(estimated standard deviation) carries a linear, rather than quadratic weight. Default is LIM=1.6. LIM=0 means that a non- robustified (truly quadratic) criterion is used. MAXSIZE: No matrix with more than MAXSIZE elements is formed by the algorithms. The default value is set by the .m-file idmsize. (On a PC the default value is MAXSIZE = 4096). If you run into memory problems try lower values of MAXSIZE. See also MEMORY. T: The sampling interval. Default is T=1. T is essential to obtain physical frequency scales, and when transforming to continuous time. Omitting trailing arguments or entering them as [] gives default. The output argument IT_INF contains information about the iterations when stopped: IT_INF=[last iter #,last fit improvement,norm of search vector] The norm is measured as explained under TOL above.
function auxvar % L. Ljung % Copyright (c) 1986-98 by The MathWorks, Inc. % $Revision: 2.3 $ $Date: 1997/12/02 03:43:32 $