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Diffuse smoother: bug correction when singularity occurs

time-shift
Michel Juillard 2010-10-04 21:57:08 +02:00
parent 4ad491b0a8
commit 32bf5e9a0e
2 changed files with 45 additions and 21 deletions
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62
matlab/DiffuseKalmanSmoother1_Z.m
View File

@ -63,6 +63,7 @@ global options_
d = 0;
decomp = [];
nk = options_.nk;
kalman_tol = options_.kalman_tol;
spinf = size(Pinf1);
spstar = size(Pstar1);
v = zeros(pp,smpl);
@ -91,28 +92,51 @@ etahat = zeros(rr,smpl);
r = zeros(mm,smpl+1);
t = 0;
while rank(Pinf(:,:,t+1),crit1) & t<smpl
while rank(Pinf(:,:,t+1),kalman_tol) && (t<smpl)
t = t+1;
v(:,t)= Y(:,t) - Z*a(:,t);
F = Z*Pinf(:,:,t)*Z';
if rcond(F) < crit
return
Finf = Z*Pinf(:,:,t)*Z' ;
if rcond(Finf) < kalman_tol
if ~all(abs(Finf(:)) < kalman_tol)
% The univariate diffuse kalman filter should be used.
return
else
Fstar(:,:,t) = Z*Pstar(:,:,t)*Z' + H;
if rcond(Fstar(:,:,t)) < kalman_tol
if ~all(abs(Fstar(:,:,t))<kalman_tol)
% The univariate diffuse kalman filter should be used.
return
else
a(:,:,t+1) = T*a(:,:,t);
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
end
else
iFstar = inv(Fstar(:,:,t));
Kstar(:,:,t) = Pstar(:,:,t)*Z'*iFstar(:,:,t);
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
Pstar(:,:,t+1) = T*(Pstar(:,:,t)-Pstar(:,:,t)*Z'*Kstar(:,:,t)')*T'+QQ;
a(:,:,t+1) = T*(a(:,:,t)+Kstar(:,:,t)*v(:,t));
end
end
else
iFinf(:,:,t) = inv(Finf);
PZI = Pinf(:,:,t)*Z'*iFinf(:,:,t);
atilde(:,t) = a(:,t) + PZI*v(:,t);
Kinf(:,:,t) = T*PZI;
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
% isn't a meaningless as long as we are in the diffuse part? MJ
for jnk=2:nk
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Z*Pstar(:,:,t)*Z';
Kstar(:,:,t) = (T*Pstar(:,:,t)*Z'-Kinf(:,:,t)*Fstar(:,:,t))*iFinf(:,:,t);
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'-T*Pstar(:,:,t)*Z'*Kinf(:,:,t)'-Kinf(:,:,t)*F*Kstar(:,:,t)' + QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T'-T*Pinf(:,:,t)*Z'*Kinf(:,:,t)';
end
iFinf(:,:,t) = inv(F);
PZI = Pinf(:,:,t)*Z'*iFinf(:,:,t);
atilde(:,t) = a(:,t) + PZI*v(:,t);
Kinf(:,:,t) = T*PZI;
a(:,t+1) = T*atilde(:,t);
aK(1,:,t+1) = a(:,t+1);
% isn't a meaningless as long as we are in the diffuse part? MJ
for jnk=2:nk
aK(jnk,:,t+jnk) = T*dynare_squeeze(aK(jnk-1,:,t+jnk-1));
end
Linf(:,:,t) = T - Kinf(:,:,t)*Z;
Fstar(:,:,t) = Z*Pstar(:,:,t)*Z';
Kstar(:,:,t) = (T*Pstar(:,:,t)*Z'-Kinf(:,:,t)*Fstar(:,:,t))*iFinf(:,:,t);
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'-T*Pstar(:,:,t)*Z'*Kinf(:,:,t)'-Kinf(:,:,t)*F*Kstar(:,:,t)' + QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T'-T*Pinf(:,:,t)*Z'*Kinf(:,:,t)';
end
d = t;
P(:,:,d+1) = Pstar(:,:,d+1);

4
matlab/DsgeSmoother.m
View File

@ -203,7 +203,7 @@ if any(any(H ~= 0)) % should be replaced by a flag
nobs,np,smpl,mf);
end
end
elseif options_.kalman_algo == 2
elseif kalman_algo == 2
if ~estim_params_.ncn
[alphahat,epsilonhat,etahat,ahat,aK] = ...
DiffuseKalmanSmootherH3(T,R,Q,H,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
@ -289,7 +289,7 @@ else
data1,nobs,np,smpl);
end
if all(alphahat(:)==0)
options_.kalman_algo = 4;
kalman_algo = 4;
end
end
if kalman_algo == 4