Add undocumented option for kalman_filter_mex.
parent
b863c309bd
commit
666aa46dfb
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@ -393,6 +393,7 @@ options_.smoothed_state_uncertainty = false;
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options_.first_obs = NaN;
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options_.nobs = NaN;
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options_.kalman_algo = 0;
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options_.kalman_filter_mex = false;
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options_.fast_kalman_filter = false;
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options_.kalman_tol = 1e-10;
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options_.kalman.keep_kalman_algo_if_singularity_is_detected = false;
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@ -619,6 +619,12 @@ if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
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options_.presample, ...
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T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
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analytic_deriv_info{:});
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else
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if options_.kalman_filter_mex
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[LIK,lik] = kalman_filter_mex(Y,a_0_given_tm1,Pstar, ...
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kalman_tol, riccati_tol, ...
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T,Q,R,Z,Zflag,H,diffuse_periods, ...
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options_.presample);
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else
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[LIK,lik] = kalman_filter(Y,diffuse_periods+1,size(Y,2), ...
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a_0_given_tm1,Pstar, ...
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@ -628,6 +634,7 @@ if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
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T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
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analytic_deriv_info{:});
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end
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end
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else
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[LIK,lik] = missing_observations_kalman_filter(dataset_info.missing.aindex,dataset_info.missing.number_of_observations,dataset_info.missing.no_more_missing_observations,Y,diffuse_periods+1,size(Y,2), ...
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a_0_given_tm1, Pstar, ...
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