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kchitwo

PURPOSE ^

Computes the cumulant generating function formula for noncentral Chi2-process.

SYNOPSIS ^

[K]=kchitwo(s,t,gam,bet,S12,S22);

DESCRIPTION ^

  KCHITWO Computes the cumulant generating function formula for noncentral Chi2-process. 
  
  CALL: [K]=kchitwo(s,t,gam,bet,S12,S22); 
  
  Note that s,t must be constants (vectors are not allowed):

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

01 function [K]=kchitwo(s,t,gam,bet,S12,S22); 
02 % KCHITWO Computes the cumulant generating function formula for noncentral Chi2-process. 
03 % 
04 % CALL: [K]=kchitwo(s,t,gam,bet,S12,S22); 
05 % 
06 % Note that s,t must be constants (vectors are not allowed): 
07 % 
08  
09  
10 % Reference: "Five lectures on reliability applications of Rice's formula for  
11 %             level crossings" Rychlik (2003). 
12 % 
13 % tested on matlab 6.1 
14 % by IR 12.11.03, changed name and added some checks and comments. 
15 % rev. IR 24.11.03, changed name and added some checks and comments. 
16  
17 n=length(gam); 
18 V=S22-S12'*S12; 
19 Gam=diag(gam); 
20 I=eye(n); 
21 A=I-2*s*Gam-2*t*(Gam*S12'+S12*Gam)-4*t*t*Gam*V*Gam; 
22 T=(s*I+t*S12+2*t*t*Gam*V)*bet'; 
23 K=-log(det(A))/2+t*t*bet*V*bet'/2+T'*inv(A)*T/2; 
24  
25  
26

Mathematical Statistics
Centre for Mathematical Sciences
Lund University with Lund Institute of Technology

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