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Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m

time-shift
Johannes Pfeifer 2016-10-29 15:08:28 +02:00
parent e3aecd4e74
commit 9ce577b126
1 changed files with 2 additions and 3 deletions
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5
matlab/missing_DiffuseKalmanSmootherH1_Z.m
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@ -131,8 +131,8 @@ while rank(Pinf(:,:,t+1),diffuse_kalman_tol) && t<smpl
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
end
else
iFstar = inv(Fstar(:,:,t));
Kstar(:,:,t) = Pstar(:,:,t)*ZZ'*iFstar; %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
iFstar = inv(Fstar(:,:,t));
Kstar(:,:,t) = Pstar(:,:,t)*ZZ'*iFstar; %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); % DK (2012), 5.16
Pstar(:,:,t+1) = T*(Pstar(:,:,t)-Pstar(:,:,t)*ZZ'*Kstar(:,:,t)')*T'+QQ; % (5.17) DK (2012) with L_0 plugged in
a(:,t+1) = T*(a(:,t)+Kstar(:,:,t)*v(:,t)); % (5.13) DK (2012)
@ -161,7 +161,6 @@ d = t;
P(:,:,d+1) = Pstar(:,:,d+1);
iFinf = iFinf(:,:,1:d);
Linf = Linf(:,:,1:d);
Fstar = Fstar(:,:,1:d);
Kstar = Kstar(:,:,1:d);
Pstar = Pstar(:,:,1:d);
Pinf = Pinf(:,:,1:d);