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fixing bug for estimation of models with measurement errors and 

missing observations
time-shift
Michel Juillard 2012-06-19 16:35:44 +02:00
parent 540fb1be48
commit 2fa433f18e
2 changed files with 9 additions and 1 deletions
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4
matlab/kalman/likelihood/missing_observations_kalman_filter.m
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@ -67,6 +67,10 @@ if isempty(diffuse_periods)
diffuse_periods = 0;
end
if isequal(H,0)
H = zeros(pp,pp);
end
% Get sample size.
smpl = last-start+1;

6
matlab/kalman/likelihood/missing_observations_kalman_filter_d.m
View File

@ -67,6 +67,10 @@ dlik = zeros(smpl,1); % Initialization of the vector gathering the densitie
dLIK = Inf; % Default value of the log likelihood.
oldK = Inf;
if isequal(H,0)
H = zeros(pp,pp);
end
while rank(Pinf,kalman_tol) && (t<=last)
s = t-start+1;
d_index = data_index{t};
@ -107,7 +111,7 @@ while rank(Pinf,kalman_tol) && (t<=last)
dlik(s) = log(det(Finf));
iFinf = inv(Finf);
Kinf = Pinf*ZZ'*iFinf;
Fstar = ZZ*Pstar*ZZ' + H;
Fstar = ZZ*Pstar*ZZ' + H(d_index,d_index);
Kstar = (Pstar*ZZ'-Kinf*Fstar)*iFinf;
Pstar = T*(Pstar-Pstar*ZZ'*Kinf'-Pinf*ZZ'*Kstar')*T'+QQ;
Pinf = T*(Pinf-Pinf*ZZ'*Kinf')*T';