stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail

time-shift
Johannes Pfeifer 2016-11-14 11:54:39 +01:00
parent 89e0a84327
commit 46b44cd481
1 changed files with 1 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
matlab/missing_DiffuseKalmanSmootherH3_Z.m
View File

@ -311,7 +311,7 @@ if d
N_0(:,:,t)=Linf'*N_0(:,:,t)*Linf; % DK (2012), eq. 5.19, noting that L^(0) is named Linf
end
elseif Fstar(i,t) > kalman_tol % step needed whe Finf == 0
L_i=eye(mm) - Kstar(:,i,t)*Z(i,:)*Fstar(i,t);
L_i=eye(mm) - Kstar(:,i,t)*Z(i,:)/Fstar(i,t);
r0(:,t) = Z(i,:)'/Fstar(i,t)*v(i,t)+L_i'*r0(:,t); % propagate r0 and keep r1 fixed
if state_uncertainty_flag
N_0(:,:,t)=Z(i,:)'/Fstar(i,t)*Z(i,:)+L_i'*N_0(:,:,t)*L_i; % propagate N_0 and keep N_1 and N_2 fixed