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Fix a bug in the predictive density calculation.

remove-submodule^2
Frédéric Karamé 2016-06-30 12:12:58 +02:00
parent 48c6f166e2
commit 39df180e04
1 changed files with 13 additions and 13 deletions
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26
nonlinear-filters/src/auxiliary_particle_filter.m
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@ -84,18 +84,18 @@ end
% Uncomment for building the mean average predictions based on a sparse
% grids of structural shocks. Otherwise, all shocks are set to 0 in the
% prediction.
%if ParticleOptions.proposal_approximation.cubature
% [nodes,nodes_weights] = spherical_radial_sigma_points(number_of_structural_innovations) ;
% nodes_weights = ones(size(nodes,1),1)*nodes_weights ;
%elseif ParticleOptions.proposal_approximation.unscented
% [nodes,nodes_weights,nodes_weights_c] = unscented_sigma_points(number_of_structural_innovations,ParticleOptions);
%else
% error('Estimation: This approximation for the proposal is not implemented or unknown!')
%end
%nodes = Q_lower_triangular_cholesky*nodes ;
% if ParticleOptions.proposal_approximation.cubature
% [nodes,nodes_weights] = spherical_radial_sigma_points(number_of_structural_innovations) ;
% nodes_weights = ones(size(nodes,1),1)*nodes_weights ;
% elseif ParticleOptions.proposal_approximation.unscented
% [nodes,nodes_weights,nodes_weights_c] = unscented_sigma_points(number_of_structural_innovations,ParticleOptions);
% else
% error('Estimation: This approximation for the proposal is not implemented or unknown!')
% end
% nodes = (Q_lower_triangular_cholesky*(nodes'))' ;
nodes = zeros(1,number_of_structural_innovations) ;
nodes_weights = 1 ;
nodes_weights = ones(number_of_structural_innovations,1) ;
for t=1:sample_size
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
@ -104,14 +104,14 @@ for t=1:sample_size
tmp = 0 ;
tmp_ = 0 ;
for i=1:size(nodes)
[tmp1, tmp1_] = local_state_space_iteration_2(yhat,nodes(i,:)*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
[tmp1, tmp1_] = local_state_space_iteration_2(yhat,nodes(i,:)'*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,ThreadsOptions.local_state_space_iteration_2);
tmp = tmp + nodes_weights(i)*tmp1 ;
tmp_ = tmp_ + nodes_weights(i)*tmp1_ ;
end
else
tmp = 0 ;
for i=1:size(nodes)
tmp = tmp + nodes_weights(i)*local_state_space_iteration_2(yhat,nodes(i,:)*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
tmp = tmp + nodes_weights(i)*local_state_space_iteration_2(yhat,nodes(i,:)'*ones(1,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
end
end
PredictionError = bsxfun(@minus,Y(:,t),tmp(mf1,:));
@ -152,4 +152,4 @@ for t=1:sample_size
end
%plot(lik) ;
LIK = -sum(lik(start:end));
LIK = -sum(lik(start:end));