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Handle constant in Kalman filter 

Previously, the filter was only working with options_.noconstant, i.e. when the
data are centered.
time-shift
Sébastien Villemot 2013-02-07 18:33:55 +01:00
parent be2764520a
commit 75fbd38524
14 changed files with 53 additions and 23 deletions
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13
mex/sources/estimation/DetrendData.cc
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@ -25,7 +25,9 @@
#include "DetrendData.hh"
DetrendData::DetrendData()
DetrendData::DetrendData(const std::vector<size_t> &varobs_arg,
bool noconstant_arg)
: varobs(varobs_arg), noconstant(noconstant_arg)
{
};
@ -33,6 +35,13 @@ void
DetrendData::detrend(const VectorView &SteadyState, const MatrixConstView &dataView,
MatrixView &detrendedDataView)
{
detrendedDataView = dataView;
if (noconstant)
detrendedDataView = dataView;
else
{
for (size_t i = 0; i < varobs.size(); i++)
for (size_t j = 0; j < dataView.getCols(); j++)
detrendedDataView(i, j) = dataView(i, j) - SteadyState(varobs[i]);
}
};

6
mex/sources/estimation/DetrendData.hh
View File

@ -32,9 +32,13 @@ class DetrendData
public:
virtual ~DetrendData(){};
DetrendData();
DetrendData(const std::vector<size_t> &varobs_arg, bool noconstant_arg);
void detrend(const VectorView &SteadyState, const MatrixConstView &dataView, MatrixView &detrendedDataView);
private:
const std::vector<size_t> varobs;
const bool noconstant;
};
#endif // !defined(312823A1_6248_4af0_B204_DB22F1237E9B__INCLUDED_)

6
mex/sources/estimation/InitializeKalmanFilter.cc
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@ -34,10 +34,14 @@ InitializeKalmanFilter::InitializeKalmanFilter(const std::string &dynamicDllFile
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg,
const std::vector<size_t> &zeta_varobs_back_mixed_arg,
const std::vector<size_t> &varobs_arg,
double qz_criterium_arg,
double lyapunov_tol_arg, int &info) :
double lyapunov_tol_arg,
bool noconstant_arg,
int &info) :
lyapunov_tol(lyapunov_tol_arg),
zeta_varobs_back_mixed(zeta_varobs_back_mixed_arg),
detrendData(varobs_arg, noconstant_arg),
modelSolution(dynamicDllFile, n_endo_arg, n_exo_arg, zeta_fwrd_arg, zeta_back_arg,
zeta_mixed_arg, zeta_static_arg, qz_criterium_arg),
discLyapFast(zeta_varobs_back_mixed.size()),

4
mex/sources/estimation/InitializeKalmanFilter.hh
View File

@ -46,7 +46,9 @@ public:
InitializeKalmanFilter(const std::string &dynamicDllFile, size_t n_endo, size_t n_exo, const std::vector<size_t> &zeta_fwrd_arg,
const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg,
const std::vector<size_t> &zeta_varobs_back_mixed_arg,
double qz_criterium_arg, double lyapunov_tol_arg, int &info);
const std::vector<size_t> &varobs_arg,
double qz_criterium_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info);
virtual ~InitializeKalmanFilter();
// initialise parameter dependent KF matrices only but not Ps
template <class Vec1, class Vec2, class Mat1, class Mat2>

5
mex/sources/estimation/KalmanFilter.cc
View File

@ -35,7 +35,8 @@ KalmanFilter::KalmanFilter(const std::string &dynamicDllFile, size_t n_endo, siz
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg,
double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
double riccati_tol_arg, double lyapunov_tol_arg, int &info) :
double riccati_tol_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info) :
zeta_varobs_back_mixed(compute_zeta_varobs_back_mixed(zeta_back_arg, zeta_mixed_arg, varobs_arg)),
Z(varobs_arg.size(), zeta_varobs_back_mixed.size()), Zt(Z.getCols(), Z.getRows()), T(zeta_varobs_back_mixed.size()), R(zeta_varobs_back_mixed.size(), n_exo),
Pstar(zeta_varobs_back_mixed.size(), zeta_varobs_back_mixed.size()), Pinf(zeta_varobs_back_mixed.size(), zeta_varobs_back_mixed.size()),
@ -44,7 +45,7 @@ KalmanFilter::KalmanFilter(const std::string &dynamicDllFile, size_t n_endo, siz
oldKFinv(zeta_varobs_back_mixed.size(), varobs_arg.size()), a_init(zeta_varobs_back_mixed.size()),
a_new(zeta_varobs_back_mixed.size()), vt(varobs_arg.size()), vtFinv(varobs_arg.size()), riccati_tol(riccati_tol_arg),
initKalmanFilter(dynamicDllFile, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg,
zeta_static_arg, zeta_varobs_back_mixed, qz_criterium_arg, lyapunov_tol_arg, info),
zeta_static_arg, zeta_varobs_back_mixed, varobs_arg, qz_criterium_arg, lyapunov_tol_arg, noconstant_arg, info),
FUTP(varobs_arg.size()*(varobs_arg.size()+1)/2)
{
Z.setAll(0.0);

3
mex/sources/estimation/KalmanFilter.hh
View File

@ -52,7 +52,8 @@ public:
KalmanFilter(const std::string &dynamicDllFile, size_t n_endo, size_t n_exo, const std::vector<size_t> &zeta_fwrd_arg,
const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg,
double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
double riccati_tol_arg, double lyapunov_tol_arg, int &info);
double riccati_tol_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info);
template <class Vec1, class Vec2, class Mat1>
double compute(const MatrixConstView &dataView, Vec1 &steadyState,

7
mex/sources/estimation/LogLikelihoodMain.cc
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2009-2012 Dynare Team
* Copyright (C) 2009-2013 Dynare Team
*
* This file is part of Dynare.
*
@ -28,11 +28,12 @@
LogLikelihoodMain::LogLikelihoodMain(const std::string &dynamicDllFile, EstimatedParametersDescription &estiParDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, int &info_arg)
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol,
bool noconstant_arg, int &info_arg)
: estSubsamples(estiParDesc.estSubsamples),
logLikelihoodSubSample(dynamicDllFile, estiParDesc, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
varobs, riccati_tol, lyapunov_tol, info_arg),
varobs, riccati_tol, lyapunov_tol, noconstant_arg, info_arg),
vll(estiParDesc.getNumberOfPeriods()), // time dimension size of data
detrendedData(varobs.size(), estiParDesc.getNumberOfPeriods())
{

5
mex/sources/estimation/LogLikelihoodMain.hh
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2009-2012 Dynare Team
* Copyright (C) 2009-2013 Dynare Team
*
* This file is part of Dynare.
*
@ -40,7 +40,8 @@ public:
LogLikelihoodMain(const std::string &dynamicDllFile, EstimatedParametersDescription &estiParDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg,
const std::vector<size_t> &zeta_static_arg, const double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
double riccati_tol_arg, double lyapunov_tol_arg, int &info);
double riccati_tol_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info);
/**
* Compute method Inputs:

4
mex/sources/estimation/LogLikelihoodSubSample.cc
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@ -32,10 +32,10 @@ LogLikelihoodSubSample::~LogLikelihoodSubSample()
LogLikelihoodSubSample::LogLikelihoodSubSample(const std::string &dynamicDllFile, EstimatedParametersDescription &INestiParDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, int &INinfo) :
const std::vector<size_t> &varobs, double riccati_tol, double lyapunov_tol, bool noconstant_arg, int &INinfo) :
startPenalty(-1e8), estiParDesc(INestiParDesc),
kalmanFilter(dynamicDllFile, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg, zeta_static_arg, qz_criterium,
varobs, riccati_tol, lyapunov_tol, INinfo), eigQ(n_exo), eigH(varobs.size()), info(INinfo)
varobs, riccati_tol, lyapunov_tol, noconstant_arg, INinfo), eigQ(n_exo), eigH(varobs.size()), info(INinfo)
{
};

2
mex/sources/estimation/LogLikelihoodSubSample.hh
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@ -39,7 +39,7 @@ public:
LogLikelihoodSubSample(const std::string &dynamicDllFile, EstimatedParametersDescription &estiParDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg,
const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
const std::vector<size_t> &varobs_arg, double riccati_tol_in, double lyapunov_tol, int &info);
const std::vector<size_t> &varobs_arg, double riccati_tol_in, double lyapunov_tol, bool noconstant_arg, int &info);
template <class VEC1, class VEC2>
double compute(VEC1 &steadyState, const MatrixConstView &dataView, VEC2 &estParams, VectorView &deepParams,

7
mex/sources/estimation/LogPosteriorDensity.cc
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2009-2012 Dynare Team
* Copyright (C) 2009-2013 Dynare Team
*
* This file is part of Dynare.
*
@ -32,10 +32,11 @@ LogPosteriorDensity::~LogPosteriorDensity()
LogPosteriorDensity::LogPosteriorDensity(const std::string &modName, EstimatedParametersDescription &estParamsDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg,
const std::vector<size_t> &zeta_static_arg, const double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
double riccati_tol_arg, double lyapunov_tol_arg, int &info_arg) :
double riccati_tol_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info_arg) :
logPriorDensity(estParamsDesc),
logLikelihoodMain(modName, estParamsDesc, n_endo, n_exo, zeta_fwrd_arg, zeta_back_arg, zeta_mixed_arg,
zeta_static_arg, qz_criterium_arg, varobs_arg, riccati_tol_arg, lyapunov_tol_arg, info_arg)
zeta_static_arg, qz_criterium_arg, varobs_arg, riccati_tol_arg, lyapunov_tol_arg, noconstant_arg, info_arg)
{
}

5
mex/sources/estimation/LogPosteriorDensity.hh
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@ -1,5 +1,5 @@
/*
* Copyright (C) 2009-2012 Dynare Team
* Copyright (C) 2009-2013 Dynare Team
*
* This file is part of Dynare.
*
@ -47,7 +47,8 @@ public:
LogPosteriorDensity(const std::string &modName, EstimatedParametersDescription &estParamsDesc, size_t n_endo, size_t n_exo,
const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg,
const std::vector<size_t> &zeta_static_arg, const double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
double riccati_tol_arg, double lyapunov_tol_arg, int &info_arg);
double riccati_tol_arg, double lyapunov_tol_arg,
bool noconstant_arg, int &info_arg);
template <class VEC1, class VEC2>
double

5
mex/sources/estimation/logMHMCMCposterior.cc
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@ -711,10 +711,13 @@ logMCMCposterior(VectorConstView &estParams, const MatrixConstView &data,
estParamsInfo);
EstimatedParametersDescription epd(estSubsamples, estParamsInfo);
bool noconstant = (bool) *mxGetPr(mxGetField(options_, 0, "noconstant"));
// Allocate LogPosteriorDensity object
int info;
LogPosteriorDensity lpd(dynamicDllFile, epd, n_endo, n_exo, zeta_fwrd, zeta_back, zeta_mixed, zeta_static,
qz_criterium, varobs, riccati_tol, lyapunov_tol, info);
qz_criterium, varobs, riccati_tol, lyapunov_tol, noconstant, info);
// Construct MHMCMC Sampler
RandomWalkMetropolisHastings rwmh(estParams.getSize());

4
mex/sources/estimation/logposterior.cc
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@ -181,9 +181,11 @@ logposterior(VEC1 &estParams, const MatrixConstView &data,
EstimatedParametersDescription epd(estSubsamples, estParamsInfo);
bool noconstant = (bool) *mxGetPr(mxGetField(options_, 0, "noconstant"));
// Allocate LogPosteriorDensity object
LogPosteriorDensity lpd(dynamicDllFile, epd, n_endo, n_exo, zeta_fwrd, zeta_back, zeta_mixed, zeta_static,
qz_criterium, varobs, riccati_tol, lyapunov_tol, info);
qz_criterium, varobs, riccati_tol, lyapunov_tol, noconstant, info);
// Construct arguments of compute() method