Merge #1786.
Do not compute cholesky decomposition of H if the matrix has zeros on the diagonal.time-shift
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@ -53,12 +53,16 @@ if DynareOptions.order>1
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end
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if Model.H==0
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error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
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else
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if sum(diag(Model.H)>0)<length(DynareOptions.varobs)
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error('initial_estimation_checks:: particle filtering requires as many measurement errors as observed variables')
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else
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[~,flag]=chol(Model.H);
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if flag
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error('initial_estimation_checks:: the measurement error matrix must be positive definite')
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end
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end
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end
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end
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non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);
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