header updated
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1568 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
parent
190f2d14c0
commit
59e3f79c62
|
@ -1,8 +1,34 @@
|
||||||
function [LIK, lik] = DiffuseLikelihood1(T,R,Q,Pinf,Pstar,Y,trend,start)
|
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_
|
global bayestopt_ options_
|
||||||
|
|
||||||
mf = bayestopt_.mf;
|
mf = bayestopt_.mf;
|
||||||
|
|
Loading…
Reference in New Issue