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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1574 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-11 15:19:51 +00:00
parent 4cf7a25770
commit 7dc077a52d
1 changed files with 33 additions and 7 deletions
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40
matlab/DiffuseKalmanSmoother3.m
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@ -1,5 +1,37 @@
function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
%function [a,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
% function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
% Computes the diffuse kalman smoother without measurement error, in the case of a singular var-cov matrix.
% Univariate treatment of multivariate time series.
%
% INPUTS
% T: mm*mm matrix
% R: mm*rr matrix
% Q: rr*rr matrix
% Pinf1: mm*mm diagonal matrix with with q ones and m-q zeros
% Pstar1: mm*mm variance-covariance matrix with stationary variables
% Y: pp*1 vector
% trend
% pp: number of observed variables
% mm: number of state variables
% smpl: sample size
% mf: observed variables index in the state vector
%
% OUTPUTS
% alphahat: smoothed state variables
% etahat: smoothed shocks
% a1: matrix of one step ahead filtered state variables
% aK: 3D array of k step ahead filtered state variables
% SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space
% Models", S.J. Koopman and J. Durbin (2003, in Journal of Time Series
% Analysis, vol. 24(1), pp. 85-98).
%
% part of DYNARE, copyright Dynare Team (2004-2008)
% Gnu Public License.
% Modified by M. Ratto
% New output argument aK: 1-step to nk-stpe ahed predictions)
% New input argument nk: max order of predictions in aK
@ -11,12 +43,6 @@ function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,
% Li also stored during DKF iterations !!
% some bugs corrected in the DKF part of the smoother (Z matrix and
% alphahat)
%
% stephane.adjemian@cepremap.cnrs.fr [09-16-2004]
%
% See "Fast Filtering and Smoothing for Multivariate State Space
% Models", S.J. Koopman and J. Durbin (2000, in Journal of Time Series
% Analysis, vol. 21(3), pp. 281-296).
global options_