Fixed bug in the evaluation of the likelihood.
parent
9cc4661942
commit
294dbdc52c
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@ -128,7 +128,7 @@ for t=1:sample_size
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lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1));
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lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1));
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dfac = max(lnw);
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dfac = max(lnw);
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wtilde = weights.*exp(lnw-dfac);
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wtilde = weights.*exp(lnw-dfac);
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lik(t) = log(mean(wtilde))+dfac;
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lik(t) = log(sum(wtilde))+dfac;
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weights = wtilde/sum(wtilde);
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weights = wtilde/sum(wtilde);
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% sum(weights>max(weights)*1e-6)
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% sum(weights>max(weights)*1e-6)
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Neff = 1/(weights*weights');
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Neff = 1/(weights*weights');
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