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

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