setcov

Set parameter covariance data in identified model

Syntax

newSys = setcov(sys,cov)

Description

newSys = setcov(sys,cov) sets the parameter covariance of identified model sys as cov.

The model parameter covariance is calculated and stored automatically when a model is estimated. Therefore, you do not need to set the parameter covariance explicitly for estimated models. Use this function for analysis, such as to study how the parameter covariance affects the response of a model obtained by explicit construction.

Examples

Set Raw Covariance Data for Identified Model

Create a transfer function model for the following system:

$$sys0=\frac{4}{s^2+2s+1}$$

sys0 = idtf(4,[1 2 1]);
np = nparams(sys0);

sys0 contains np model parameters.

Specify the covariance values for the denominator parameters only.

cov = zeros(np);
den_index = 2:3;
cov(den_index,den_index) = diag([0.04 0.001]);

cov is a covariance matrix with nonzero entries for the denominator parameters.

Set the covariance for sys0.

sys = setcov(sys0,cov);

Input Arguments

sys — Identified model

identified model object

Identified model, specified as one of the following model objects.

• idtf

• idss

• idgrey

• idpoly

• idproc

• idnlgrey

cov — Parameter covariance matrix

semi-positive definite symmetric matrix | structure

Parameter covariance matrix, specified as one of the following:

• N_p-by-N_p semi-positive definite symmetric matrix, where N_p is equal to the number of parameters of sys.

• Structure with the following fields that describe the parameter covariance in a factored form.

  • R — Usually the Cholesky factor of inverse of covariance

  • T — Transformation matrix

  • Free — Logical vector of length N_p indicating if a parameter is free.

  To derive the covariance matrix use the command cov(Free,Free) = T*inv(R'*R)*T'.

Output Arguments

newSys — Updated identified model

identified model object

Identified model, returned as the same type of identified model object as sys. The parameter covariance matrix in newSys matches the new covariance matrix specified in params.

Version History

Introduced in R2012a