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Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare

time-shift
Sébastien Villemot 2021-01-22 18:32:42 +01:00
parent 35df056905 c6c9b4e356
commit 565d61aad3
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GPG Key ID: 2CECE9350ECEBE4A
2 changed files with 5 additions and 5 deletions
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6
matlab/kalman/likelihood/kalman_filter.m
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@ -53,7 +53,7 @@ function [LIK, LIKK, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t
%! @table @ @var
%! @item LIK
%! Double scalar, value of (minus) the likelihood.
%! @item likk
%! @item LIKK
%! Column vector of doubles, values of the density of each observation.
%! @item a
%! Vector (@var{mm}*1) of doubles, mean of the state vector at the end of the (sub)sample.
@ -254,9 +254,9 @@ end
if t <= last
if analytic_derivation
if analytic_derivation==2
[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, D2a, D2T, D2Yss);
[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, log_dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, D2a, D2T, D2Yss);
else
[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, asy_hess);
[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, log_dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, asy_hess);
end
likk(s+1:end) = tmp2{1};
dlikk(s+1:end,:) = tmp2{2};

4
matlab/kalman/likelihood/kalman_filter_fast.m
View File

@ -209,10 +209,10 @@ end
if t <= last
if analytic_derivation
if analytic_derivation==2
[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag, ...
[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,log(dF),Z,pp,Zflag, ...
analytic_derivation,Da,DT,DYss,D2a,D2T,D2Yss);
else
[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag, ...
[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,log(dF),Z,pp,Zflag, ...
analytic_derivation,Da,DT,DYss,asy_hess);
end
likk(s+1:end)=tmp2{1};