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Fix bug in imcforecast.m where covariance matrix was decomposed element-wise instead of via Cholesky.

time-shift
Johannes Pfeifer 2014-03-09 17:05:59 +01:00 committed by Stéphane Adjemian (Scylla)
parent bf674fa59f
commit 04554967fc
1 changed files with 1 additions and 1 deletions
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2
matlab/imcforecast.m
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@ -129,7 +129,7 @@ if isempty(options_.qz_criterium)
end
[T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
sQ = sqrt(M_.Sigma_e);
sQ = chol(M_.Sigma_e,'lower');
NumberOfStates = length(InitState);
FORCS1 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);