diff --git a/matlab/DiffuseLikelihood1.m b/matlab/DiffuseLikelihood1.m index 5149bbc4a..ec37644a8 100644 --- a/matlab/DiffuseLikelihood1.m +++ b/matlab/DiffuseLikelihood1.m @@ -1,8 +1,34 @@ 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;