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Add the option of Monte Carlo nonlinear Kalman filter.

remove-submodule^2
Frédéric Karamé 2018-06-08 20:58:48 +02:00
parent c9df03a9f7
commit 778fddd1e5
1 changed files with 5 additions and 1 deletions
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6
nonlinear-filters/src/nonlinear_kalman_filter.m
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@ -89,7 +89,11 @@ end
% compute gaussian quadrature nodes and weights on states and shocks
if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo
if ParticleOptions.proposal_approximation.montecarlo
nodes = randn(ParticleOptions.number_of_particles,number_of_state_variables+number_of_structural_innovations) ;
weights = 1/ParticleOptions.number_of_particles ;
weights_c = weights ;
elseif ParticleOptions.proposal_approximation.cubature
[nodes,weights] = spherical_radial_sigma_points(number_of_state_variables+number_of_structural_innovations) ;
weights_c = weights ;
elseif ParticleOptions.proposal_approximation.unscented