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v4 adding test for kalman filter and smoother 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1184 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2007-02-11 13:02:29 +00:00
parent 4e1122f014
commit 86cac39227
2 changed files with 54 additions and 0 deletions
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tests/kalman_filter_smoother/test.mat Normal file
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tests/kalman_filter_smoother/testsmoother.m Normal file
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load test
% $$$ Y = Y(1:2,:);
% $$$ mf = mf(1:2);
% $$$ H=H(1:2,1:2);
% $$$ pp = pp-1;
% $$$ trend =trend(1:2,:);
Pinf1(1,1) = 1;
Pstar1(1,1) = 0;
Pstar1(4,1) = 0;
Pstar1(1,4) = 0;
[alphahat1,epsilonhat1,etahat1,a11, aK1] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q,H, ...
Pinf1,Pstar1,Y,trend, ...
pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(epsilonhat1-epsilonhat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
max(max(abs(aK1-aK2)))
return
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))
H = zeros(size(H));
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
Pinf1,Pstar1,Y,trend, ...
pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother3(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q, H, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))