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- test the rank of Pinf in univariate smoother for the subset of observables, in order to trap cases where this is not already trapped in compute_Pinf_Pstar.m 

- issue warning when diffuse steps never end [maybe we should issue an error?]
time-shift
Marco Ratto 2017-03-30 11:21:54 +02:00
parent bf607ce630
commit 792924a3b7
1 changed files with 9 additions and 3 deletions
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12
matlab/missing_DiffuseKalmanSmootherH3_Z.m
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@ -122,7 +122,7 @@ end
t = 0;
icc=0;
newRank = rank(Pinf(:,:,1),diffuse_kalman_tol);
newRank = rank(Z*Pinf(:,:,1)*Z',diffuse_kalman_tol);
while newRank && t < smpl
t = t+1;
a(:,t) = a1(:,t);
@ -156,7 +156,7 @@ while newRank && t < smpl
end
end
if newRank
oldRank = rank(Pinf(:,:,t),diffuse_kalman_tol);
oldRank = rank(Z*Pinf(:,:,t)*Z',diffuse_kalman_tol);
else
oldRank = 0;
end
@ -168,7 +168,7 @@ while newRank && t < smpl
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';
if newRank
newRank = rank(Pinf(:,:,t+1),diffuse_kalman_tol);
newRank = rank(Z*Pinf(:,:,t+1)*Z',diffuse_kalman_tol);
end
if oldRank ~= newRank
disp('univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!')
@ -367,3 +367,9 @@ if decomp_flag
end
epsilonhat = Y - Z*alphahat;
if (d==smpl)
warning(['missing_DiffuseKalmanSmootherH3_Z:: There isn''t enough information to estimate the initial conditions of the nonstationary variables']);
return
end