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Merge #1786. 

Do not compute cholesky decomposition of H if the matrix has zeros on
the diagonal.
time-shift
Stéphane Adjemian (Charybdis) 2021-01-16 11:21:14 +01:00
parent ad17b8ec33
commit 38e300b94e
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
1 changed files with 9 additions and 5 deletions
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14
matlab/initial_estimation_checks.m
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@ -41,7 +41,7 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
%singularity check
maximum_number_non_missing_observations=max(sum(~isnan(DynareDataset.data),2));
if DynareOptions.order>1
if DynareOptions.order>1
if any(any(isnan(DynareDataset.data)))
error('initial_estimation_checks:: particle filtering does not support missing observations')
end
@ -54,9 +54,13 @@ if DynareOptions.order>1
if Model.H==0
error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
else
[~,flag]=chol(Model.H);
if flag
error('initial_estimation_checks:: the measurement error matrix must be positive definite')
if sum(diag(Model.H)>0)<length(DynareOptions.varobs)
error('initial_estimation_checks:: particle filtering requires as many measurement errors as observed variables')
else
[~,flag]=chol(Model.H);
if flag
error('initial_estimation_checks:: the measurement error matrix must be positive definite')
end
end
end
end
@ -163,7 +167,7 @@ if ~isequal(DynareOptions.mode_compute,11) || ...
if info(1)==201
fprintf('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.\n')
error('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.')
end
end
%reset options
DynareOptions.use_univariate_filters_if_singularity_is_detected=use_univariate_filters_if_singularity_is_detected_old;
else