v4: further corrections
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@678 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
michel
parent
e72a1d579c
commit
a8e01d23bf
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@ -1,4 +1,4 @@
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function [alphahat,etahat,a1, aK, a] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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function [alphahat,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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%function [a,etahat,a1, aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf)
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% Modified by M. Ratto
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% New output argument aK: 1-step to nk-stpe ahed predictions)
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@ -20,7 +20,7 @@ function [alphahat,etahat,a1, aK, a] = DiffuseKalmanSmoother3(T,R,Q,Pinf1,Pstar1
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global options_
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nk = options_.nk;
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nk = options_.nk;
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spinf = size(Pinf1);
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spstar = size(Pstar1);
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v = zeros(pp,smpl);
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@ -52,81 +52,81 @@ r = zeros(mm,smpl);
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Z = zeros(pp,mm);
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for i=1:pp;
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Z(i,mf(i)) = 1;
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Z(i,mf(i)) = 1;
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end
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t = 0;
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icc=0;
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newRank = rank(Pinf(:,:,1),crit1);
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while newRank & t < smpl
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t = t+1;
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a1(:,t) = a(:,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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Pinf(:,:,t)=tril(Pinf(:,:,t))+transpose(tril(Pinf(:,:,t),-1));
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Pstar1(:,:,t) = Pstar(:,:,t);
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Pinf1(:,:,t) = Pinf(:,:,t);
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for i=1:pp
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v(i,t) = Y(i,t)-a(mf(i),t)-trend(i,t);
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Fstar(i,t) = Pstar(mf(i),mf(i),t);
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Finf(i,t) = Pinf(mf(i),mf(i),t);
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Kstar(:,i,t) = Pstar(:,mf(i),t);
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if Finf(i,t) > crit & newRank, % original MJ: if Finf(i,t) > crit
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icc=icc+1;
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Kinf(:,i,t) = Pinf(:,mf(i),t);
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Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
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L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Z(i,:)/Finf(i,t);
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a(:,t) = a(:,t) + Kinf(:,i,t)*v(i,t)/Finf(i,t);
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Pstar(:,:,t) = Pstar(:,:,t) + ...
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Kinf(:,i,t)*transpose(Kinf(:,i,t))*Fstar(i,t)/(Finf(i,t)*Finf(i,t)) - ...
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(Kstar(:,i,t)*transpose(Kinf(:,i,t)) +...
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Kinf(:,i,t)*transpose(Kstar(:,i,t)))/Finf(i,t);
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Pinf(:,:,t) = Pinf(:,:,t) - Kinf(:,i,t)*transpose(Kinf(:,i,t))/Finf(i,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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Pinf(:,:,t)=tril(Pinf(:,:,t))+transpose(tril(Pinf(:,:,t),-1));
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% new terminiation criteria by M. Ratto
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P0=Pinf(:,:,t);
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% newRank = any(diag(P0(mf,mf))>crit);
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% if newRank==0, id = i; end,
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if ~isempty(options_.diffuse_d),
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newRank = (icc<options_.diffuse_d);
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%if newRank & any(diag(P0(mf,mf))>crit)==0;
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if newRank & (any(diag(P0(mf,mf))>crit)==0 & rank(P0,crit1)==0);
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disp('WARNING!! Change in OPTIONS_.DIFFUSE_D in univariate DKF')
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options_.diffuse_d = icc;
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newRank=0;
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end
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else
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%newRank = any(diag(P0(mf,mf))>crit);
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newRank = (any(diag(P0(mf,mf))>crit) | rank(P0,crit1));
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if newRank==0,
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options_.diffuse_d = icc;
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end
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end,
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% if newRank==0,
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% options_.diffuse_d=i; %this is buggy
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% end
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% end new terminiation criteria by M. Ratto
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else
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%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
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%% rank(Pinf)=0 is satisfied we have P = Pstar and F = Fstar and (3) Finf = 0 does not imply that
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%% rank(Pinf)=0. [stéphane,11-03-2004].
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Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
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a(:,t) = a(:,t) + Kstar(:,i,t)*v(i,t)/Fstar(i,t);
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Pstar(:,:,t) = Pstar(:,:,t) - Kstar(:,i,t)*transpose(Kstar(:,i,t))/Fstar(i,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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t = t+1;
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a1(:,t) = a(:,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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Pinf(:,:,t)=tril(Pinf(:,:,t))+transpose(tril(Pinf(:,:,t),-1));
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Pstar1(:,:,t) = Pstar(:,:,t);
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Pinf1(:,:,t) = Pinf(:,:,t);
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for i=1:pp
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v(i,t) = Y(i,t)-a(mf(i),t)-trend(i,t);
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Fstar(i,t) = Pstar(mf(i),mf(i),t);
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Finf(i,t) = Pinf(mf(i),mf(i),t);
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Kstar(:,i,t) = Pstar(:,mf(i),t);
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if Finf(i,t) > crit & newRank, % original MJ: if Finf(i,t) > crit
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icc=icc+1;
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Kinf(:,i,t) = Pinf(:,mf(i),t);
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Linf(:,:,i,t) = eye(mm) - Kinf(:,i,t)*Z(i,:)/Finf(i,t);
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L0(:,:,i,t) = (Kinf(:,i,t)*Fstar(i,t)/Finf(i,t) - Kstar(:,i,t))*Z(i,:)/Finf(i,t);
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a(:,t) = a(:,t) + Kinf(:,i,t)*v(i,t)/Finf(i,t);
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Pstar(:,:,t) = Pstar(:,:,t) + ...
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Kinf(:,i,t)*transpose(Kinf(:,i,t))*Fstar(i,t)/(Finf(i,t)*Finf(i,t)) - ...
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(Kstar(:,i,t)*transpose(Kinf(:,i,t)) +...
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Kinf(:,i,t)*transpose(Kstar(:,i,t)))/Finf(i,t);
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Pinf(:,:,t) = Pinf(:,:,t) - Kinf(:,i,t)*transpose(Kinf(:,i,t))/Finf(i,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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Pinf(:,:,t)=tril(Pinf(:,:,t))+transpose(tril(Pinf(:,:,t),-1));
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% new terminiation criteria by M. Ratto
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P0=Pinf(:,:,t);
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% newRank = any(diag(P0(mf,mf))>crit);
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% if newRank==0, id = i; end,
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if ~isempty(options_.diffuse_d),
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newRank = (icc<options_.diffuse_d);
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%if newRank & any(diag(P0(mf,mf))>crit)==0;
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if newRank & (any(diag(P0(mf,mf))>crit)==0 & rank(P0,crit1)==0);
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disp('WARNING!! Change in OPTIONS_.DIFFUSE_D in univariate DKF')
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options_.diffuse_d = icc;
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newRank=0;
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end
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else
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%newRank = any(diag(P0(mf,mf))>crit);
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newRank = (any(diag(P0(mf,mf))>crit) | rank(P0,crit1));
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if newRank==0,
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options_.diffuse_d = icc;
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end
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end,
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% if newRank==0,
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% options_.diffuse_d=i; %this is buggy
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% end
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% end new terminiation criteria by M. Ratto
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else
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%% Note that : (1) rank(Pinf)=0 implies that Finf = 0, (2) outside this loop (when for some i and t the condition
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%% rank(Pinf)=0 is satisfied we have P = Pstar and F = Fstar and (3) Finf = 0 does not imply that
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%% rank(Pinf)=0. [stéphane,11-03-2004].
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Li(:,:,i,t) = eye(mm)-Kstar(:,i,t)*Z(i,:)/Fstar(i,t); % we need to store Li for DKF smoother
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a(:,t) = a(:,t) + Kstar(:,i,t)*v(i,t)/Fstar(i,t);
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Pstar(:,:,t) = Pstar(:,:,t) - Kstar(:,i,t)*transpose(Kstar(:,i,t))/Fstar(i,t);
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Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1));
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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end
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Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
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Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
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P0=Pinf(:,:,t+1);
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if newRank,
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%newRank = any(diag(P0(mf,mf))>crit);
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newRank = rank(P0,crit1);
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end
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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end
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Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ;
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Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
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P0=Pinf(:,:,t+1);
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if newRank,
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%newRank = any(diag(P0(mf,mf))>crit);
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newRank = rank(P0,crit1);
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end
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end
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@ -143,113 +143,113 @@ Pstar1 = Pstar1(:,:,1:d);
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Pinf1 = Pinf1(:,:,1:d);
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notsteady = 1;
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while notsteady & t<smpl
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t = t+1;
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a1(:,t) = a(:,t);
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P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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P1(:,:,t) = P(:,:,t);
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for i=1:pp
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v(i,t) = Y(i,t) - a(mf(i),t) - trend(i,t);
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Fi(i,t) = P(mf(i),mf(i),t);
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Ki(:,i,t) = P(:,mf(i),t);
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if Fi(i,t) > crit
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Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
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a(:,t) = a(:,t) + Ki(:,i,t)*v(i,t)/Fi(i,t);
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P(:,:,t) = P(:,:,t) - Ki(:,i,t)*transpose(Ki(:,i,t))/Fi(i,t);
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P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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end
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t = t+1;
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a1(:,t) = a(:,t);
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P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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P1(:,:,t) = P(:,:,t);
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for i=1:pp
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v(i,t) = Y(i,t) - a(mf(i),t) - trend(i,t);
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Fi(i,t) = P(mf(i),mf(i),t);
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Ki(:,i,t) = P(:,mf(i),t);
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if Fi(i,t) > crit
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Li(:,:,i,t) = eye(mm)-Ki(:,i,t)*Z(i,:)/Fi(i,t);
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a(:,t) = a(:,t) + Ki(:,i,t)*v(i,t)/Fi(i,t);
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P(:,:,t) = P(:,:,t) - Ki(:,i,t)*transpose(Ki(:,i,t))/Fi(i,t);
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P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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end
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P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
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notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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end
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P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ;
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notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit);
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end
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P_s=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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Fi_s = Fi(:,t);
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Ki_s = Ki(:,:,t);
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L_s =Li(:,:,:,t);
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if t<smpl
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t_steady = t+1;
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P = cat(3,P(:,:,1:t),repmat(P(:,:,t),[1 1 smpl-t_steady+1]));
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Fi = cat(2,Fi(:,1:t),repmat(Fi_s,[1 1 smpl-t_steady+1]));
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Li = cat(4,Li(:,:,:,1:t),repmat(L_s,[1 1 smpl-t_steady+1]));
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Ki = cat(3,Ki(:,:,1:t),repmat(Ki_s,[1 1 smpl-t_steady+1]));
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t_steady = t+1;
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P = cat(3,P(:,:,1:t),repmat(P(:,:,t),[1 1 smpl-t_steady+1]));
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Fi = cat(2,Fi(:,1:t),repmat(Fi_s,[1 1 smpl-t_steady+1]));
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Li = cat(4,Li(:,:,:,1:t),repmat(L_s,[1 1 smpl-t_steady+1]));
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Ki = cat(3,Ki(:,:,1:t),repmat(Ki_s,[1 1 smpl-t_steady+1]));
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end
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while t<smpl
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t=t+1;
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a1(:,t) = a(:,t);
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for i=1:pp
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v(i,t) = Y(i,t) - a(mf(i),t) - trend(i,t);
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if Fi_s(i) > crit
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a(:,t) = a(:,t) + Ki_s(:,i)*v(i,t)/Fi_s(i);
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end
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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t=t+1;
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a1(:,t) = a(:,t);
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for i=1:pp
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v(i,t) = Y(i,t) - a(mf(i),t) - trend(i,t);
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if Fi_s(i) > crit
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a(:,t) = a(:,t) + Ki_s(:,i)*v(i,t)/Fi_s(i);
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end
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end
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a(:,t+1) = T*a(:,t);
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for jnk=1:nk,
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aK(jnk,:,t+jnk) = T^jnk*a(:,t);
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end
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end
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a1(:,t+1) = a(:,t+1);
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ri=r;
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t = smpl+1;
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while t>d+1 & t>2,
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t = t-1;
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for i=pp:-1:1
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if Fi(i,t) > crit
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ri(:,t)=transpose(Z(i,:))/Fi(i,t)*v(i,t)+transpose(Li(:,:,i,t))*ri(:,t);
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end
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t = t-1;
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for i=pp:-1:1
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if Fi(i,t) > crit
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ri(:,t)=transpose(Z(i,:))/Fi(i,t)*v(i,t)+transpose(Li(:,:,i,t))*ri(:,t);
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end
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r(:,t-1) = ri(:,t);
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alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1);
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etahat(:,t) = QRt*r(:,t);
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ri(:,t-1) = transpose(T)*ri(:,t);
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end
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r(:,t-1) = ri(:,t);
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alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1);
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etahat(:,t) = QRt*r(:,t);
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ri(:,t-1) = transpose(T)*ri(:,t);
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end
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if d
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r0 = zeros(mm,d); r0(:,d) = ri(:,d);
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r1 = zeros(mm,d);
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for t = d:-1:2
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for i=pp:-1:1
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if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
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%r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ... BUG HERE in transpose(Z)
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r1(:,t) = transpose(Z(i,:))*v(i,t)/Finf(i,t) + ...
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transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t);
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r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t);
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elseif Fstar(i,t) > crit % step needed whe Finf == 0
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r0(:,t)=transpose(Z(i,:))/Fstar(i,t)*v(i,t)+Li(:,:,i,t)'*r0(:,t);
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end
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end
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alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
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r(:,t-1) = r0(:,t);
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etahat(:,t) = QRt*r(:,t);
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r0(:,t-1) = transpose(T)*r0(:,t);
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r1(:,t-1) = transpose(T)*r1(:,t);
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end
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r0_0 = r0(:,1);
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r1_0 = r1(:,1);
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r0 = zeros(mm,d); r0(:,d) = ri(:,d);
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r1 = zeros(mm,d);
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for t = d:-1:2
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for i=pp:-1:1
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if Finf(i,1) > crit,
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%r1_0 = transpose(Z)*v(:,1)/Finf(i,1) + ... %bug with Z here
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r1_0 = transpose(Z(i,:))*v(i,1)/Finf(i,1) + ...
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transpose(L0(:,:,i,1))*r0_0 + transpose(Linf(:,:,i,1))*r1_0;
|
||||
r0_0 = transpose(Linf(:,:,i,1))*r0_0;
|
||||
elseif Fstar(i,1) > crit, % step needed when Finf=0
|
||||
r0_0=transpose(Z(i,:))/Fstar(i,1)*v(i,1)+Li(:,:,i,1)'*r0_0;
|
||||
end
|
||||
if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
|
||||
%r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ... BUG HERE in transpose(Z)
|
||||
r1(:,t) = transpose(Z(i,:))*v(i,t)/Finf(i,t) + ...
|
||||
transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t);
|
||||
r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t);
|
||||
elseif Fstar(i,t) > crit % step needed whe Finf == 0
|
||||
r0(:,t)=transpose(Z(i,:))/Fstar(i,t)*v(i,t)+Li(:,:,i,t)'*r0(:,t);
|
||||
end
|
||||
end
|
||||
%alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0; %this line is buggy
|
||||
alphahat(:,1) = a1(:,1) + Pstar1(:,:,1)*r0_0 + Pinf1(:,:,1)*r1_0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
|
||||
r(:,t-1) = r0(:,t);
|
||||
etahat(:,t) = QRt*r(:,t);
|
||||
r0(:,t-1) = transpose(T)*r0(:,t);
|
||||
r1(:,t-1) = transpose(T)*r1(:,t);
|
||||
end
|
||||
r0_0 = r0(:,1);
|
||||
r1_0 = r1(:,1);
|
||||
for i=pp:-1:1
|
||||
if Finf(i,1) > crit,
|
||||
%r1_0 = transpose(Z)*v(:,1)/Finf(i,1) + ... %bug with Z here
|
||||
r1_0 = transpose(Z(i,:))*v(i,1)/Finf(i,1) + ...
|
||||
transpose(L0(:,:,i,1))*r0_0 + transpose(Linf(:,:,i,1))*r1_0;
|
||||
r0_0 = transpose(Linf(:,:,i,1))*r0_0;
|
||||
elseif Fstar(i,1) > crit, % step needed when Finf=0
|
||||
r0_0=transpose(Z(i,:))/Fstar(i,1)*v(i,1)+Li(:,:,i,1)'*r0_0;
|
||||
end
|
||||
end
|
||||
%alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0; %this line is buggy
|
||||
alphahat(:,1) = a1(:,1) + Pstar1(:,:,1)*r0_0 + Pinf1(:,:,1)*r1_0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
else
|
||||
r0 = ri(:,1);
|
||||
for i=pp:-1:1
|
||||
if Fi(i,1) > crit
|
||||
r0=transpose(Z(i,:))/Fi(i,1)*v(i,1)+transpose(Li(:,:,i,1))*r0;
|
||||
end
|
||||
end
|
||||
%alphahat(:,1) = a(:,1) + P(:,:,1)*r0; % this line is buggy
|
||||
alphahat(:,1) = a1(:,1) + P1(:,:,1)*r0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
r0 = ri(:,1);
|
||||
for i=pp:-1:1
|
||||
if Fi(i,1) > crit
|
||||
r0=transpose(Z(i,:))/Fi(i,1)*v(i,1)+transpose(Li(:,:,i,1))*r0;
|
||||
end
|
||||
end
|
||||
%alphahat(:,1) = a(:,1) + P(:,:,1)*r0; % this line is buggy
|
||||
alphahat(:,1) = a1(:,1) + P1(:,:,1)*r0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
end
|
||||
|
||||
a=a(:,1:end-1);
|
||||
|
|
|
|||
|
|
@ -82,7 +82,7 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoo
|
|||
if options_.kalman_algo == 1
|
||||
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
|
||||
if all(alphahat(:)==0)
|
||||
[alphahat,etahat,ahat] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
|
||||
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
|
||||
end
|
||||
elseif options_.kalman_algo == 3
|
||||
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother3(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);
|
||||
|
|
|
|||
Loading…
Reference in New Issue