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set_all_parameters.m: only operate on covariance matrices if necessary

kalman-mex
Johannes Pfeifer 2023-10-07 14:21:20 +02:00 committed by Sébastien Villemot
parent 2eb9475e0e
commit 5a3ae27b13
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1 changed files with 18 additions and 16 deletions
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34
matlab/set_all_parameters.m
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@ -55,8 +55,10 @@ ncx = estim_params.ncx;
nvn = estim_params.nvn;
ncn = estim_params.ncn;
np = estim_params.np;
Sigma_e = M.Sigma_e;
Correlation_matrix = M.Correlation_matrix;
if nvx || ncx
Sigma_e = M.Sigma_e;
Correlation_matrix = M.Correlation_matrix;
end
H = M.H;
Correlation_matrix_ME = M.Correlation_matrix_ME;
% setting shocks variance on the diagonal of Covariance matrix; used later
@ -93,13 +95,6 @@ if ncx
Correlation_matrix(k2,k1) = Correlation_matrix(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances')
Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
end
% update offset
offset = nvx+nvn+ncx;
@ -113,13 +108,6 @@ if ncn
Correlation_matrix_ME(k2,k1) = Correlation_matrix_ME(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances_ME')
H(estim_params.calibrated_covariances_ME.position)=estim_params.calibrated_covariances_ME.cov_value;
end
% update offset
offset = nvx+ncx+nvn+ncn;
@ -131,10 +119,24 @@ end
% updating matrices in M
if nvx || ncx
%build covariance matrix from correlation matrix and variances already on
%diagonal
Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances')
Sigma_e(estim_params.calibrated_covariances.position)=estim_params.calibrated_covariances.cov_value;
end
M.Sigma_e = Sigma_e;
M.Correlation_matrix=Correlation_matrix;
end
if nvn || ncn
%build covariance matrix from correlation matrix and variances already on
%diagonal
H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params,'calibrated_covariances_ME')
H(estim_params.calibrated_covariances_ME.position)=estim_params.calibrated_covariances_ME.cov_value;
end
M.H = H;
M.Correlation_matrix_ME=Correlation_matrix_ME;
end