That explains it! With N=100, A=90, B=20, C=89 you have 90 samples to the left to estimate A~89 but only 10 samples to the right to estimate B~37. This is reasonable.
- Bo Til: Programming forum <programming@jsoftware.com> >Sendt: 23:05 tirsdag den 3. juli 2012 >Emne: Re: [Jprogramming] Kalman filter in J? > >@Bo The discrepancy comes about because I altered your original verb: >C for compatibility with my own definition of the Heaviside function: >hv ... > > 10 hv 3 >0 0 0 1 1 1 1 1 1 1 > >I did this simply by increasing its returned value by 1. But I did not >alter the old version of ABC (ABC0) which uses it. (It does need >altering). > >Upon restoring to your original C, I can confirm that ABC0 now returns >the exact correct parameters in the absence of noise (it didn't >before) ... > > ABC0 10 hv 3 >0 1 2 > >and that both versions now give identical results on the few trials >I've made of them, especially with the random variable X which I was >using for the test... > > ABC0 X >98.6542 36.7969 89 > ABC X >98.6542 36.7969 89 > >This version of X (which I've saved and will make available) is a hard >test: when I plot it I can't see the step without knowing where it's >meant to be. The standard deviation of the Gaussian noise is half the >step height, 10. Thus the noise is capable of obliterating the >information as to the exact onset of the step, so I'm impressed that >ABC gets it right here, even if the estimate of B is awry in this >instance. (In the absence of noise it would be 100 20 89.) > >With other X's I've tried, ABC makes far better estimates of B. > >Ian > >On Tue, Jul 3, 2012 at 5:17 PM, Bo Jacoby <bojac...@yahoo.dk> wrote: >> The old ABC program and the new ABC program were supposed to be equivalent >> algorithms, and so they should give exactly the same results for the same >> test data. That is why I am bewildered by the difference. Ian did the test >> and knows about the test data. >> - Bo >>>________________________________ >>> Fra: Raul Miller <rauldmil...@gmail.com> >>>Til: Programming forum <programming@jsoftware.com> >>>Sendt: 16:34 tirsdag den 3. juli 2012 >>>Emne: Re: [Jprogramming] Kalman filter in J? >>> >>>On Tue, Jul 3, 2012 at 6:08 AM, Bo Jacoby <bojac...@yahoo.dk> wrote: >>>> The result changes from C=90 (correct) in the old ABC to C=89 >>>> (incorrect) in the new ABC. Also the old ABC result B=41 and the >>>> new ABC result B=37 should both be B=20. That is bewildering. >>> >>>Which test data are you using here (for X)? >>> >>>(Have you verified that the noise does not shift the values of the >>>"best result"?) >>> >>>-- >>>Raul >>>---------------------------------------------------------------------- >>>For information about J forums see http://www.jsoftware.com/forums.htm >>> >>> >>> >> ---------------------------------------------------------------------- >> For information about J forums see http://www.jsoftware.com/forums.htm >---------------------------------------------------------------------- >For information about J forums see http://www.jsoftware.com/forums.htm > > >Fra: Ian Clark <earthspo...@gmail.com> ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
