Added new algorithm for the estimation of nonlinear models.
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272e3c96f8
commit
67b808207c
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@ -6020,6 +6020,9 @@ Gaussian mixture filter.
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@item cpf
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Conditional particle filter.
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@item nlkf
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Use a standard (linear) Kalman filter algorithm with the nonlinear measurement and state equations.
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@end table
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@item proposal_approximation = @var{OPTION}
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@ -81,6 +81,8 @@ if ~options_.dsge_var
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options_.particle.algorithm = 'gaussian_mixture_filter';
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elseif strcmpi(options_.particle.filter_algorithm, 'cpf')
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options_.particle.algorithm = 'conditional_particle_filter';
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elseif strcmpi(options_.particle.filter_algorithm, 'nlkf')
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options_.particle.algorithm = 'nonlinear_kalman_filter';
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else
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error(['Estimation: Unknown filter ' options_.particle.filter_algorithm])
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end
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