From 35c3a9fcd9181d1f5ba250172a6abf5daa0a04dd Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?= Date: Thu, 28 Jun 2018 09:20:19 +0200 Subject: [PATCH] Replace the likelihood of the mean by the mean of the likelihoods. --- src/nonlinear_kalman_filter.m | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/src/nonlinear_kalman_filter.m b/src/nonlinear_kalman_filter.m index 9e118b995..cf4339473 100644 --- a/src/nonlinear_kalman_filter.m +++ b/src/nonlinear_kalman_filter.m @@ -169,7 +169,9 @@ for t=1:sample_size return end end - lik(t) = log( probability2(0,PredictedObservedVarianceSquareRoot,PredictionError) ) ; +% lik(t) = log( probability2(0,PredictedObservedVarianceSquareRoot,PredictionError) ) ; + lik(t) = log( sum(probability2(Y(:,t),H_lower_triangular_cholesky,tmp(mf1,:)).*weights,1) ) ; +% lik(t) = log(sum(probability2(Y(:,t),PredictedObservedVarianceSquareRoot,tmp(mf1,:)).*weights,1) ) ; end LIK = -sum(lik(start:end));