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Merge pull request #6 from JohannesPfeifer/patch-1 

Reflect new input argument of lyapunov_symm.m of Dynare
rm-particles^2
Stéphane Adjemian 2015-08-12 11:45:04 +02:00
parent 12a5e664f4 5220ec2a1a
commit 7235de438c
1 changed files with 1 additions and 1 deletions
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2
src/solve_model_for_online_filter.m
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@ -329,7 +329,7 @@ if observation_number==1
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.constant(mf0);
StateVectorVariance = lyapunov_symm(ReducedForm.ghx(mf0,:),ReducedForm.ghu(mf0,:)*ReducedForm.Q*ReducedForm.ghu(mf0,:)',1e-12,1e-12);
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);
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.constant(mf0);
old_DynareOptionsperiods = DynareOptions.periods;