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Add undocumented option for kalman_filter_mex.

kalman_mex
Stéphane Adjemian (Argos) 2023-11-09 18:58:02 +01:00
parent b863c309bd
commit 666aa46dfb
Signed by: stepan
GPG Key ID: A6D44CB9C64CE77B
2 changed files with 24 additions and 16 deletions
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1
matlab/default_option_values.m
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@ -393,6 +393,7 @@ options_.smoothed_state_uncertainty = false;
options_.first_obs = NaN;
options_.nobs = NaN;
options_.kalman_algo = 0;
options_.kalman_filter_mex = false;
options_.fast_kalman_filter = false;
options_.kalman_tol = 1e-10;
options_.kalman.keep_kalman_algo_if_singularity_is_detected = false;

21
matlab/dsge_likelihood.m
View File

@ -620,13 +620,20 @@ if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
analytic_deriv_info{:});
else
[LIK,lik] = kalman_filter(Y,diffuse_periods+1,size(Y,2), ...
a_0_given_tm1,Pstar, ...
kalman_tol, riccati_tol, ...
options_.rescale_prediction_error_covariance, ...
options_.presample, ...
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
analytic_deriv_info{:});
if options_.kalman_filter_mex
[LIK,lik] = kalman_filter_mex(Y,a_0_given_tm1,Pstar, ...
kalman_tol, riccati_tol, ...
T,Q,R,Z,Zflag,H,diffuse_periods, ...
options_.presample);
else
[LIK,lik] = kalman_filter(Y,diffuse_periods+1,size(Y,2), ...
a_0_given_tm1,Pstar, ...
kalman_tol, riccati_tol, ...
options_.rescale_prediction_error_covariance, ...
options_.presample, ...
T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods, ...
analytic_deriv_info{:});
end
end
else
[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), ...