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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1568 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-11 14:26:33 +00:00
parent 190f2d14c0
commit 59e3f79c62
1 changed files with 29 additions and 3 deletions
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32
matlab/DiffuseLikelihood1.m
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function [LIK, lik] = DiffuseLikelihood1(T,R,Q,Pinf,Pstar,Y,trend,start)
% M. Ratto added lik in output
% stephane.adjemian@cepremap.cnrs.fr [07-19-2004]
% function [LIK, lik] = DiffuseLikelihood1(T,R,Q,Pinf,Pstar,Y,trend,start)
% Computes the diffuse likelihood without measurement error, in the case of a non-singular var-cov matrix
%
% Same as DiffuseLikelihoodH1 without measurement error.
% INPUTS
% T: mm*mm matrix
% R: mm*rr matrix
% Q: rr*rr matrix
% Pinf: mm*mm diagonal matrix with with q ones and m-q zeros
% Pstar: mm*mm variance-covariance matrix with stationary variables
% Y: pp*1 vector
% trend
% start: likelihood evaluation at 'start'
%
% OUTPUTS
% LIK: likelihood
% lik: density vector in each period
%
% SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space
% Models", S.J. Koopman and J. Durbin (2003, in Journal of Time Series
% Analysis, vol. 24(1), pp. 85-98).
%
% part of DYNARE, copyright Dynare Team (2004-2008)
% Gnu Public License.
% M. Ratto added lik in output
global bayestopt_ options_
mf = bayestopt_.mf;