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diffuse filter: fixed bug when nonstationary variables aren't observed

time-shift
Michel Juillard 2016-11-20 11:06:40 +01:00
parent 0952776e53
commit 897af97bff
1 changed files with 4 additions and 9 deletions
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13
matlab/schur_statespace_transformation.m
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@ -103,20 +103,15 @@ if i == nk+1
c = ST(nk+1,:)*(Pstar(:,nk+2:end)*ST(nk1,nk+2:end)')+ST(nk1,nk1)*ST(nk1,nk+2:end)*Pstar(nk+2:end,nk1);
Pstar(nk1,nk1)=(B(nk1,nk1)+c)/(1-ST(nk1,nk1)*ST(nk1,nk1));
end
Z = QT(mf,:);
% stochastic trends with no influence on observed variables are
% arbitrarily initialized to zero
Pinf = zeros(np,np);
Pinf(1:nk,1:nk) = eye(nk);
[QQ,RR,EE] = qr(Z*ST,0);
k = find(abs(diag(RR)) < 1e-8);
if length(k) > 0
k1 = EE(:,k);
dd =ones(nk,1);
dd(k1) = zeros(length(k1),1);
Pinf(1:nk,1:nk) = diag(dd);
for k = 1:nk
if norm(QT(mf,k)) < 1e-8
Pinf(k,k) = 0;
end
end