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Small improvements around analytic scores and Hessian

time-shift
Marco Ratto 2011-04-15 15:26:33 +02:00
parent 8aeb76fee6
commit 7c92b2308a
1 changed files with 12 additions and 2 deletions
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14
matlab/DsgeLikelihood.m
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@ -198,6 +198,9 @@ mf = bayestopt_.mf1;
Y = data-trend;
if analytic_derivation,
no_DLIK = 0;
DLIK = [];
AHess = [];
if nargin<7 || isempty(derivatives_info)
[A,B] = dynare_resolve;
if ~isempty(estim_params_.var_exo),
@ -217,6 +220,9 @@ if analytic_derivation,
DT = derivatives_info.DT;
DOm = derivatives_info.DOm;
DYss = derivatives_info.DYss;
if isfield(derivatives_info,'no_DLIK'),
no_DLIK = derivatives_info.no_DLIK;
end
clear derivatives_info,
end
iv = oo_.dr.restrict_var_list;
@ -257,8 +263,12 @@ if (kalman_algo==1)% Multivariate Kalman Filter
if no_missing_data_flag
LIK = kalman_filter(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol);
if analytic_derivation,
[DLIK] = score(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
[AHess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
if no_DLIK==0,
[DLIK] = score(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
end
if nargout==7,
[AHess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
end
end
else
LIK = ...