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gh_transform

PURPOSE ^

GH_TRANSFORM - Gauss-Hermite transform of random variables

SYNOPSIS ^

function [mu,S,C,SX,W] = gh_transform(m,P,g,g_param,tr_param)

DESCRIPTION ^

 GH_TRANSFORM - Gauss-Hermite transform of random variables

 Syntax:
   [mu,S,C,SX,W] = GH_TRANSFORM(M,P,g,p,param)

 In:
   M - Random variable mean (Nx1 column vector)
   P - Random variable covariance (NxN pos.def. matrix)
   g - Transformation function of the form g(x,param) as
       matrix, inline function, function name or function reference
   g_param - Parameters of g               (optional, default empty)
   tr_param - Parameters of the integration method in form {p}:
       p - Number of points in Gauss-Hermite integration
 

 Out:
   mu - Estimated mean of y
    S - Estimated covariance of y
    C - Estimated cross-covariance of x and y
   SX - Sigma points of x
    W - Weights as cell array

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
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