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Port state variance initialization fix from dab5d38068

rm-particles^2
Johannes Pfeifer 2021-01-26 09:14:34 +01:00
parent f4003536db
commit 60f71f2720
1 changed files with 10 additions and 3 deletions
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13
src/solve_model_for_online_filter.m
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@ -185,15 +185,22 @@ if setinitialcondition
switch DynareOptions.particle.initialization
case 1% Initial state vector covariance is the ergodic variance associated to the first order Taylor-approximation of the model.
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
StateVectorVariance = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
[A,B] = kalman_transition_matrix(dr,dr.restrict_var_list,dr.restrict_columns,Model.exo_nbr);
StateVectorVariance2 = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',DynareOptions.lyapunov_fixed_point_tol,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
StateVectorVariance = lyapunov_symm(A, B*ReducedForm.Q*B', DynareOptions.lyapunov_fixed_point_tol, ...
DynareOptions.qz_criterium, DynareOptions.lyapunov_complex_threshold, [], DynareOptions.debug);
StateVectorVariance = StateVectorVariance(mf0,mf0);
case 2% Initial state vector covariance is a monte-carlo based estimate of the ergodic variance (consistent with a k-order Taylor-approximation of the model).
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);
old_DynareOptionsperiods = DynareOptions.periods;
DynareOptions.periods = 5000;
y_ = simult(oo_.steady_state, dr, Model, DynareOptions, DynareResults);
y_ = y_(state_variables_idx,2001:5000);
old_DynareOptionspruning = DynareOptions.pruning;
DynareOptions.pruning = DynareOptions.particle.pruning;
y_ = simult(dr.ys, dr, Model, DynareOptions, DynareResults);
y_ = y_(dr.order_var(state_variables_idx),2001:DynareOptions.periods);
StateVectorVariance = cov(y_');
DynareOptions.periods = old_DynareOptionsperiods;
DynareOptions.pruning = old_DynareOptionspruning;
clear('old_DynareOptionsperiods','y_');
case 3% Initial state vector covariance is a diagonal matrix.
StateVectorMean = ReducedForm.state_variables_steady_state;%.constant(mf0);