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4.1: bug correction in Kalman smoother with missing observations 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2506 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2009-03-23 06:33:23 +00:00
parent 4db8d566e3
commit 67b89e7078
1 changed files with 28 additions and 3 deletions
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31
matlab/missing_DiffuseKalmanSmoother3.m
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@ -1,4 +1,4 @@
function [alphahat,etahat,a, aK] = missing_DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf,data_index)
function [alphahat,etahat,a,P,aK,PK,d,decomp] = missing_DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf,data_index)
% function [alphahat,etahat,a1, aK] = missing_DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf,data_index)
% Computes the diffuse kalman smoother without measurement error, in the case of a singular var-cov matrix.
% Univariate treatment of multivariate time series.
@ -59,13 +59,16 @@ function [alphahat,etahat,a, aK] = missing_DiffuseKalmanSmoother3(T,R,Q,Pinf1,Ps
global options_
d=0;
decomp=[];
nk = options_.nk;
spinf = size(Pinf1);
spstar = size(Pstar1);
v = zeros(pp,smpl);
a = zeros(mm,smpl);
a1 = zeros(mm,smpl+1);
aK = zeros(nk,mm,smpl+nk);
aK = zeros(nk,mm,smpl+nk);
PK = zeros(nk,mm,mm,smpl+nk);
if isempty(options_.diffuse_d),
smpl_diff = 1;
@ -208,8 +211,11 @@ while notsteady & t<smpl
end
end
a1(:,t+1) = T*a(:,t);
Pf = P(:,:,t);
for jnk=1:nk,
aK(jnk,:,t+jnk) = T^jnk*a(:,t);
Pf = T*Pf*T' + QQ;
aK(jnk,:,t+jnk) = T^jnk*a1(:,t);
PK(jnk,:,:,t+jnk) = Pf;
end
P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
% notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
@ -282,4 +288,23 @@ if d
end
end
if nargout > 7
decomp = zeros(nk,mm,rr,smpl+nk);
ZRQinv = inv(Z*QQ*Z');
for t = max(d,1):smpl
ri_d = Z'*iF(:,:,t)*v(:,t);
% calculate eta_tm1t
eta_tm1t = QRt*ri_d;
% calculate decomposition
Ttok = eye(mm,mm);
for h = 1:nk
for j=1:rr
eta=zeros(rr,1);
eta(j) = eta_tm1t(j);
decomp(h,:,j,t+h) = T^(h-1)*P(:,:,t)*Z'*ZRQinv*Z*R*eta;
end
end
end
end