correcting bugs in Kalman Smoother
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
michel
parent
0e125f541e
commit
ae0c71bfd9
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@ -78,7 +78,7 @@ QQ = R*Q*transpose(R);
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QRt = Q*transpose(R);
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alphahat = zeros(mm,smpl);
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etahat = zeros(rr,smpl);
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r = zeros(mm,smpl);
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r = zeros(mm,smpl+1);
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Z = zeros(pp,mm);
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for i=1:pp;
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@ -152,33 +152,26 @@ while t<smpl
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v(:,t) = Y(:,t) - a(mf,t) - trend(:,t);
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atilde(:,t) = a(:,t) + PZI*v(:,t);
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a(:,t+1) = T*a(:,t) + K_s*v(:,t);
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aK(1,:,t+1) = a(:,t+1);
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aK(1,:,t+1) = a(:,t+1);
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for jnk=2:nk,
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aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
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aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1);
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end
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end
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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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r(:,t-1) = transpose(Z)*iF(:,:,t)*v(:,t) + transpose(L(:,:,t))*r(:,t);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1);
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etahat(:,t) = QRt*r(:,t);
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while t>d+1
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t = t-1;
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r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
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etahat(:,t) = QRt*r(:,t);
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end
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if d
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r0 = zeros(mm,d); r0(:,d) = r(:,d);
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r1 = zeros(mm,d);
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for t = d:-1:2
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r0(:,t-1) = transpose(Linf(:,:,t))*r0(:,t);
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r1(:,t-1) = transpose(Z)*(iFinf(:,:,t)*v(:,t)-transpose(Kstar(:,:,t))*r0(:,t)) + transpose(Linf(:,:,t))*r1(:,t);
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alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,t-1);
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etahat(:,t) = QRt*r0(:,t);
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end
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r0_0 = transpose(Linf(:,:,1))*r0(:,1);
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r1_0 = transpose(Z)*(iFinf(:,:,1)*v(:,1)-transpose(Kstar(:,:,1))*r0(:,1)) + transpose(Linf(:,:,1))*r1(:,1);
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alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0;
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etahat(:,1) = QRt*r0(:,1);
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else
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r0 = transpose(Z)*iF(:,:,1)*v(:,1) + transpose(L(:,:,1))*r(:,1);
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alphahat(:,1) = a(:,1) + P(:,:,1)*r0;
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etahat(:,1) = QRt*r(:,1);
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r0 = zeros(mm,d+1);
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r0(:,d+1) = r(:,d+1);
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r1 = zeros(mm,d+1);
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for t = d:-1:1
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r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
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r1(:,t) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t+1)) + Linf(:,:,t)'*r1(:,t+1);
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alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
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etahat(:,t) = QRt*r0(:,t);
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end
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end
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@ -85,10 +85,10 @@ crit1 = 1.e-8;
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steady = smpl;
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rr = size(Q,1);
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QQ = R*Q*transpose(R);
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QRt = Q*transpose(R);
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QRt = Q*transpose(R);
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alphahat = zeros(mm,smpl);
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etahat = zeros(rr,smpl);
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r = zeros(mm,smpl);
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r = zeros(mm,smpl+1);
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t = 0;
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while rank(Pinf(:,:,t+1),crit1) & t<smpl
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@ -169,30 +169,22 @@ while t<smpl
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end
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end
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t = smpl+1;
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while t>d+1 & t>2
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while t>d+1
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t = t-1;
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r(:,t-1) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1);
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etahat(:,t) = QRt*r(:,t);
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r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
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etahat(:,t) = QRt*r(:,t);
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end
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if d
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r0 = zeros(mm,d);
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r0(:,d) = r(:,d);
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r1 = zeros(mm,d);
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for t = d:-1:2
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r0(:,t-1) = Linf(:,:,t)'*r0(:,t);
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r1(:,t-1) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t)) + Linf(:,:,t)'*r1(:,t);
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alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,t-1);
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r0 = zeros(mm,d+1);
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r0(:,d+1) = r(:,d+1);
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r1 = zeros(mm,d+1);
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for t = d:-1:1
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r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
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r1(:,t) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t+1)) + Linf(:,:,t)'*r1(:,t+1);
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alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
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etahat(:,t) = QRt*r0(:,t);
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end
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r0_0 = Linf(:,:,1)'*r0(:,1);
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r1_0 = Z'*(iFinf(:,:,1)*v(:,1)-Kstar(:,:,1)'*r0(:,1)) + Linf(:,:,1)'*r1(:,1);
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alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0;
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etahat(:,1) = QRt*r0(:,1);
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else
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r0 = Z'*iF(:,:,1)*v(:,1) + L(:,:,1)'*r(:,1);
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alphahat(:,1) = a(:,1) + P(:,:,1)*r0;
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etahat(:,1) = QRt*r(:,1);
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end
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if nargout > 7
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@ -93,7 +93,7 @@ QQ = R*Q*transpose(R);
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QRt = Q*transpose(R);
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alphahat = zeros(mm,smpl);
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etahat = zeros(rr,smpl);
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r = zeros(mm,smpl);
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r = zeros(mm,smpl+1);
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Z = zeros(pp,mm);
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for i=1:pp;
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@ -203,7 +203,7 @@ while notsteady & t<smpl
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P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
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end
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end
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a(:,t+1) = T*a(:,t);
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a1(:,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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@ -235,65 +235,43 @@ while t<smpl
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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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ri=r;
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ri=zeros(mm,1);
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t = smpl+1;
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while t>d+1 & t>2,
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while t>d+1
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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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ri = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
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end
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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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r(:,t) = ri;
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alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
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etahat(:,t) = QRt*r(:,t);
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ri(:,t-1) = transpose(T)*ri(:,t);
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ri = T'*ri;
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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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r0 = zeros(mm,d);
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r0(:,d) = ri;
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r1 = zeros(mm,d);
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for t = d:-1:2
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for t = d:-1:1
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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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r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
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L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
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r0(:,t) = 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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r0(:,t) = 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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r(:,t) = 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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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;
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r0_0 = transpose(Linf(:,:,i,1))*r0_0;
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elseif Fstar(i,1) > crit, % step needed when Finf=0
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r0_0=transpose(Z(i,:))/Fstar(i,1)*v(i,1)+Li(:,:,i,1)'*r0_0;
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if t > 1
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r0(:,t-1) = T'*r0(:,t);
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r1(:,t-1) = T'*r1(:,t);
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end
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end
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%alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0; %this line is buggy
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alphahat(:,1) = a1(:,1) + Pstar1(:,:,1)*r0_0 + Pinf1(:,:,1)*r1_0;
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etahat(:,1) = QRt*r(:,1);
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else
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r0 = ri(:,1);
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for i=pp:-1:1
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if Fi(i,1) > crit
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r0=transpose(Z(i,:))/Fi(i,1)*v(i,1)+transpose(Li(:,:,i,1))*r0;
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end
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end
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%alphahat(:,1) = a(:,1) + P(:,:,1)*r0; % this line is buggy
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alphahat(:,1) = a1(:,1) + P1(:,:,1)*r0;
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etahat(:,1) = QRt*r(:,1);
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end
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@ -243,26 +243,28 @@ while t<smpl
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PK(jnk,:,:,t+jnk) = Pf;
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end
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end
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ri=r;
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ri=zeros(mm,1);
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t = smpl+1;
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while t>d+1 & t>2,
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while t > d+1
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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) = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri(:,t);
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ri = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
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end
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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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r(:,t) = ri;
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alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
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etahat(:,t) = QRt*r(:,t);
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ri(:,t-1) = T'*ri(:,t);
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ri = T'*ri;
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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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r0 = zeros(mm,d);
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r0(:,d) = ri;
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r1 = zeros(mm,d);
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for t = d:-1:2
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for t = d:-1:1
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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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% 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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if Finf(i,t) > crit
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r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
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L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
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r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
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@ -270,34 +272,14 @@ if d
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r0(:,t) = 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) = T'*r0(:,t);
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r1(:,t-1) = 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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for i=pp:-1:1
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if Finf(i,1) > crit,
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r1_0 = Z(i,:)'*v(i,1)/Finf(i,1) + ...
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L0(:,:,i,1)'*r0_0 + Linf(:,:,i,1)'*r1_0;
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r0_0 = Linf(:,:,i,1)'*r0_0;
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elseif Fstar(i,1) > crit, % step needed when Finf=0
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r0_0=Z(i,:)'/Fstar(i,1)*v(i,1)+Li(:,:,i,1)'*r0_0;
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alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
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r(:,t) = r0(:,t);
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etahat(:,t) = QRt*r(:,t);
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if t > 1
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r0(:,t-1) = T'*r0(:,t);
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r1(:,t-1) = T'*r1(:,t);
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end
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end
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alphahat(:,1) = a1(:,1) + Pstar1(:,:,1)*r0_0 + Pinf1(:,:,1)*r1_0;
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etahat(:,1) = QRt*r(:,1);
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else
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r0 = ri(:,1);
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for i=pp:-1:1
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if Fi(i,1) > crit
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r0 = Z(i,:)'/Fi(i,1)*v(i,1)+Li(:,:,i,1)'*r0;
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end
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end
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alphahat(:,1) = a1(:,1) + P1(:,:,1)*r0;
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etahat(:,1) = QRt*r(:,1);
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end
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if nargout > 7
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@ -79,7 +79,7 @@ QRt = Q*transpose(R);
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alphahat = zeros(mm,smpl);
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etahat = zeros(rr,smpl);
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epsilonhat = zeros(size(Y));
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r = zeros(mm,smpl);
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r = zeros(mm,smpl+1);
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Z = zeros(pp,mm);
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for i=1:pp;
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@ -156,28 +156,21 @@ while t<smpl
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end
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end
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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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r(:,t-1) = transpose(Z)*iF(:,:,t)*v(:,t) + transpose(L(:,:,t))*r(:,t);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1);
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while t>d+1
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t = t-1;
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r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
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alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
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etahat(:,t) = QRt*r(:,t);
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end
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if d
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r0 = zeros(mm,d); r0(:,d) = r(:,d);
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r1 = zeros(mm,d);
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for t = d:-1:2
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r0(:,t-1) = transpose(Linf(:,:,t))*r0(:,t);
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r1(:,t-1) = transpose(Z)*(iFinf(:,:,t)*v(:,t)-transpose(Kstar(:,:,t))*r0(:,t)) + transpose(Linf(:,:,t))*r1(:,t);
|
||||
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,t-1);
|
||||
r0 = zeros(mm,d+1);
|
||||
r0(:,d+1) = r(:,d+1);
|
||||
r1 = zeros(mm,d+1);
|
||||
for t = d:-1:1
|
||||
r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
|
||||
r1(:,t) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t+1)) + Linf(:,:,t)'*r1(:,t+1);
|
||||
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
|
||||
etahat(:,t) = QRt*r0(:,t);
|
||||
end
|
||||
r0_0 = transpose(Linf(:,:,1))*r0(:,1);
|
||||
r1_0 = transpose(Z)*(iFinf(:,:,1)*v(:,1)-transpose(Kstar(:,:,1))*r0(:,1)) + transpose(Linf(:,:,1))*r1(:,1);
|
||||
alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0;
|
||||
etahat(:,1) = QRt*r0(:,1);
|
||||
else
|
||||
r0 = transpose(Z)*iF(:,:,1)*v(:,1) + transpose(L(:,:,1))*r(:,1);
|
||||
alphahat(:,1) = a(:,1) + P(:,:,1)*r0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
end
|
||||
epsilonhat = Y-alphahat(mf,:)-trend;
|
||||
|
|
|
|||
|
|
@ -91,7 +91,7 @@ QRt = Q*transpose(R);
|
|||
alphahat = zeros(mm,smpl);
|
||||
etahat = zeros(rr,smpl);
|
||||
epsilonhat = zeros(size(Y));
|
||||
r = zeros(mm,smpl);
|
||||
r = zeros(mm,smpl+1);
|
||||
|
||||
t = 0;
|
||||
while rank(Pinf(:,:,t+1),crit1) & t<smpl
|
||||
|
|
@ -172,30 +172,22 @@ while t<smpl
|
|||
end
|
||||
end
|
||||
t = smpl+1;
|
||||
while t>d+1 & t>2
|
||||
while t>d+1
|
||||
t = t-1;
|
||||
r(:,t-1) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t);
|
||||
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1);
|
||||
r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
|
||||
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
|
||||
etahat(:,t) = QRt*r(:,t);
|
||||
end
|
||||
if d
|
||||
r0 = zeros(mm,d);
|
||||
r0(:,d) = r(:,d);
|
||||
r1 = zeros(mm,d);
|
||||
for t = d:-1:2
|
||||
r0(:,t-1) = Linf(:,:,t)'*r0(:,t);
|
||||
r1(:,t-1) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t)) + Linf(:,:,t)'*r1(:,t);
|
||||
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,t-1);
|
||||
r0 = zeros(mm,d+1);
|
||||
r0(:,d+1) = r(:,d+1);
|
||||
r1 = zeros(mm,d+1);
|
||||
for t = d:-1:1
|
||||
r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
|
||||
r1(:,t) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t+1)) + Linf(:,:,t)'*r1(:,t+1);
|
||||
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
|
||||
etahat(:,t) = QRt*r0(:,t);
|
||||
end
|
||||
r0_0 = Linf(:,:,1)'*r0(:,1);
|
||||
r1_0 = Z'*(iFinf(:,:,1)*v(:,1)-Kstar(:,:,1)'*r0(:,1)) + Linf(:,:,1)'*r1(:,1);
|
||||
alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0;
|
||||
etahat(:,1) = QRt*r0(:,1);
|
||||
else
|
||||
r0 = Z'*iF(:,:,1)*v(:,1) + L(:,:,1)'*r(:,1);
|
||||
alphahat(:,1) = a(:,1) + P(:,:,1)*r0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
end
|
||||
|
||||
if nargout > 7
|
||||
|
|
|
|||
|
|
@ -87,15 +87,15 @@ Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1;
|
|||
Pstar1 = Pstar;
|
||||
Pinf1 = Pinf;
|
||||
crit = options_.kalman_tol;
|
||||
crit1 = 1.e-6;
|
||||
crit1 = 1.e-6;
|
||||
steady = smpl;
|
||||
rr = size(Q,1);
|
||||
QQ = R*Q*transpose(R);
|
||||
QRt = Q*transpose(R);
|
||||
QRt = Q*transpose(R);
|
||||
alphahat = zeros(mm,smpl);
|
||||
etahat = zeros(rr,smpl);
|
||||
epsilonhat = zeros(size(Y));
|
||||
r = zeros(mm,smpl);
|
||||
r = zeros(mm,smpl+1);
|
||||
|
||||
Z = zeros(pp,mm);
|
||||
for i=1:pp;
|
||||
|
|
@ -237,65 +237,42 @@ while t<smpl
|
|||
aK(jnk,:,t+jnk) = T^jnk*a(:,t);
|
||||
end
|
||||
end
|
||||
ri=r;
|
||||
ri=zeros(mm,1);
|
||||
t = smpl+1;
|
||||
while t>d+1 & t>2,
|
||||
while t>d+1
|
||||
t = t-1;
|
||||
for i=pp:-1:1
|
||||
if Fi(i,t) > crit
|
||||
ri(:,t)=transpose(Z(i,:))/Fi(i,t)*v(i,t)+transpose(Li(:,:,i,t))*ri(:,t);
|
||||
ri=Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
|
||||
end
|
||||
end
|
||||
r(:,t-1) = ri(:,t);
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1);
|
||||
r(:,t) = ri;
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
|
||||
etahat(:,t) = QRt*r(:,t);
|
||||
ri(:,t-1) = transpose(T)*ri(:,t);
|
||||
ri = T'*ri;
|
||||
end
|
||||
if d
|
||||
r0 = zeros(mm,d); r0(:,d) = ri(:,d);
|
||||
r0 = zeros(mm,d);
|
||||
r0(:,d) = ri;
|
||||
r1 = zeros(mm,d);
|
||||
for t = d:-1:2
|
||||
for t = d:-1:1
|
||||
for i=pp:-1:1
|
||||
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);
|
||||
r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
|
||||
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
|
||||
r0(:,t) = 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);
|
||||
r0(:,t)=Z(i,:)'/Fstar(i,t)*v(i,t)+Li(:,:,i,t)'*r0(:,t);
|
||||
end
|
||||
end
|
||||
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
|
||||
r(:,t-1) = r0(:,t);
|
||||
r(:,t) = 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;
|
||||
if t > 1
|
||||
r0(:,t-1) = transpose(T)*r0(:,t);
|
||||
r1(:,t-1) = transpose(T)*r1(:,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);
|
||||
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);
|
||||
end
|
||||
epsilonhat = Y-alphahat(mf,:)-trend;
|
||||
|
||||
|
|
|
|||
|
|
@ -245,26 +245,28 @@ while t<smpl
|
|||
PK(jnk,:,:,t+jnk) = Pf;
|
||||
end
|
||||
end
|
||||
ri=r;
|
||||
ri=zeros(mm,1);
|
||||
t = smpl+1;
|
||||
while t>d+1 & t>2,
|
||||
while t>d+1
|
||||
t = t-1;
|
||||
for i=pp:-1:1
|
||||
if Fi(i,t) > crit
|
||||
ri(:,t) = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri(:,t);
|
||||
ri = Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
|
||||
end
|
||||
end
|
||||
r(:,t-1) = ri(:,t);
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1);
|
||||
r(:,t) = ri(:,t);
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
|
||||
etahat(:,t) = QRt*r(:,t);
|
||||
ri(:,t-1) = T'*ri(:,t);
|
||||
ri = T'*ri;
|
||||
end
|
||||
if d
|
||||
r0 = zeros(mm,d); r0(:,d) = ri(:,d);
|
||||
r0 = zeros(mm,d);
|
||||
r0(:,d) = ri;
|
||||
r1 = zeros(mm,d);
|
||||
for t = d:-1:2
|
||||
for i=pp:-1:1
|
||||
if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
|
||||
% if Finf(i,t) > crit & ~(t==d & i>options_.diffuse_d), % use of options_.diffuse_d to be sure of DKF termination
|
||||
if Finf(i,t) > crit
|
||||
r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
|
||||
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
|
||||
r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
|
||||
|
|
@ -273,33 +275,13 @@ if d
|
|||
end
|
||||
end
|
||||
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
|
||||
r(:,t-1) = r0(:,t);
|
||||
r(:,t) = r0(:,t);
|
||||
etahat(:,t) = QRt*r(:,t);
|
||||
r0(:,t-1) = T'*r0(:,t);
|
||||
r1(:,t-1) = T'*r1(:,t);
|
||||
end
|
||||
r0_0 = r0(:,1);
|
||||
r1_0 = r1(:,1);
|
||||
for i=pp:-1:1
|
||||
if Finf(i,1) > crit,
|
||||
r1_0 = Z(i,:)'*v(i,1)/Finf(i,1) + ...
|
||||
L0(:,:,i,1)'*r0_0 + Linf(:,:,i,1)'*r1_0;
|
||||
r0_0 = Linf(:,:,i,1)'*r0_0;
|
||||
elseif Fstar(i,1) > crit, % step needed when Finf=0
|
||||
r0_0=Z(i,:)'/Fstar(i,1)*v(i,1)+Li(:,:,i,1)'*r0_0;
|
||||
if t > 1
|
||||
r0(:,t-1) = T'*r0(:,t);
|
||||
r1(:,t-1) = T'*r1(:,t);
|
||||
end
|
||||
end
|
||||
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 = Z(i,:)'/Fi(i,1)*v(i,1)+Li(:,:,i,1)'*r0;
|
||||
end
|
||||
end
|
||||
alphahat(:,1) = a1(:,1) + P1(:,:,1)*r0;
|
||||
etahat(:,1) = QRt*r(:,1);
|
||||
end
|
||||
|
||||
if nargout > 7
|
||||
|
|
|
|||
|
|
@ -85,7 +85,7 @@ QRt = Q*transpose(R);
|
|||
alphahat = zeros(mm+pp,smpl);
|
||||
etahat = zeros(rr,smpl);
|
||||
epsilonhat = zeros(pp,smpl);
|
||||
r = zeros(mm+pp,smpl);
|
||||
r = zeros(mm+pp,smpl+1);
|
||||
Z = zeros(pp,mm+pp);
|
||||
for i=1:pp;
|
||||
Z(i,mf(i)) = 1;
|
||||
|
|
@ -192,64 +192,43 @@ while t<smpl
|
|||
end
|
||||
|
||||
%% [2] Kalman smoother...
|
||||
ri=r;
|
||||
ri=zeros(mm,1);
|
||||
t = smpl+1;
|
||||
while t>d+1 & t>2,
|
||||
t = t-1;
|
||||
for i=pp:-1:1
|
||||
if Fi(i,t) > crit
|
||||
ri(:,t)=transpose(Z(i,:))/Fi(i,t)*v(i,t)+transpose(Li(:,:,i,t))*ri(:,t);
|
||||
while t>d+1
|
||||
t = t-1;
|
||||
for i=pp:-1:1
|
||||
if Fi(i,t) > crit
|
||||
ri=Z(i,:)'/Fi(i,t)*v(i,t)+Li(:,:,i,t)'*ri;
|
||||
end
|
||||
end
|
||||
r(:,t-1) = ri(:,t);
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1);
|
||||
tmp = QRt*r(:,t);
|
||||
etahat(:,t) = tmp(1:rr);
|
||||
epsilonhat(:,t) = tmp(rr+1:rr+pp);
|
||||
ri(:,t-1) = transpose(T)*ri(:,t);
|
||||
r(:,t) = ri(:,t);
|
||||
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
|
||||
tmp = QRt*r(:,t);
|
||||
etahat(:,t) = tmp(1:rr);
|
||||
epsilonhat(:,t) = tmp(rr+(1:pp));
|
||||
ri = T'*ri;
|
||||
end
|
||||
if d
|
||||
r0 = zeros(mm+pp,d); r0(:,d) = ri(:,d);
|
||||
r1 = zeros(mm+pp,d);
|
||||
for t = d:-1:2
|
||||
r0 = zeros(mm+pp,d);
|
||||
r0(:,d) = ri;
|
||||
r1 = zeros(mm+pp,d);
|
||||
for t = d:-1:1
|
||||
for i=pp:-1:1
|
||||
if Finf(i,t) > crit
|
||||
r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ...
|
||||
transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t);
|
||||
if Finf(i,t) > crit
|
||||
r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ...
|
||||
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
|
||||
r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t);
|
||||
end
|
||||
end
|
||||
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
|
||||
r(:,t-1) = r0(:,t);
|
||||
tmp = QRt*r(:,t);
|
||||
etahat(:,t) = tmp(1:rr);
|
||||
epsilonhat(:,t) = tmp(rr+1:rr+pp);
|
||||
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) + ...
|
||||
transpose(L0(:,:,i,1))*r0_0 + transpose(Linf(:,:,i,1))*r1_0;
|
||||
r0_0 = transpose(Linf(:,:,i,1))*r0_0;
|
||||
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t);
|
||||
r(:,t-1) = r0(:,t);
|
||||
tmp = QRt*r(:,t);
|
||||
etahat(:,t) = tmp(1:rr);
|
||||
epsilonhat(:,t) = tmp(rr+(1:pp));
|
||||
if t > 1
|
||||
r0(:,t-1) = T'*r0(:,t);
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r1(:,t-1) = T'*r1(:,t);
|
||||
end
|
||||
end
|
||||
alphahat(:,1) = a(:,1) + Pstar(:,:,1)*r0_0 + Pinf(:,:,1)*r1_0;
|
||||
tmp = QRt*r(:,1);
|
||||
etahat(:,1) = tmp(1:rr);
|
||||
epsilonhat(:,1) = tmp(rr+1:rr+pp);
|
||||
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;
|
||||
tmp = QRt*r(:,1);
|
||||
etahat(:,1) = tmp(1:rr);
|
||||
epsilonhat(:,1) = tmp(rr+1:rr+pp);
|
||||
end
|
||||
alphahat = alphahat(1:mm,:);
|
||||
|
|
@ -286,7 +286,7 @@ function [fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data
|
|||
LIK = univariate_kalman_filter_corr(T,R,Q,H,Pstar,Y,start,mf,kalman_tol,riccati_tol,data_index,number_of_observations,no_more_missing_observations);
|
||||
end
|
||||
case 3% Diffuse Kalman filter.
|
||||
if nargin==3
|
||||
if no_missing_data_flag
|
||||
data1 = data - trend;
|
||||
if any(any(H ~= 0))
|
||||
LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,start);
|
||||
|
|
|
|||
|
|
@ -108,15 +108,21 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
|
|||
|
||||
kalman_algo = options_.kalman_algo;
|
||||
if options_.lik_init == 1 % Kalman filter
|
||||
kalman_algo = 1;
|
||||
if kalman_algo ~= 2
|
||||
kalman_algo = 1;
|
||||
end
|
||||
Pstar = lyapunov_symm(T,R*Q*transpose(R),options_.qz_criterium);
|
||||
Pinf = [];
|
||||
elseif options_.lik_init == 2 % Old Diffuse Kalman filter
|
||||
kalman_algo = 1;
|
||||
if kalman_algo ~= 2
|
||||
kalman_algo = 1;
|
||||
end
|
||||
Pstar = 10*eye(np);
|
||||
Pinf = [];
|
||||
elseif options_.lik_init == 3 % Diffuse Kalman filter
|
||||
kalman_algo = 3;
|
||||
if kalman_algo ~= 4
|
||||
kalman_algo = 3;
|
||||
end
|
||||
[QT,ST] = schur(T);
|
||||
if exist('OCTAVE_VERSION') || matlab_ver_less_than('7.0.1')
|
||||
e1 = abs(my_ordeig(ST)) > 2-options_.qz_criterium;
|
||||
|
|
@ -212,31 +218,47 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
|
|||
DiffuseKalmanSmootherH3corr(T,R,Q,H,Pinf,Pstar,Y,trend, ...
|
||||
nobs,np,smpl,mf);
|
||||
end
|
||||
elseif kalman_algo == 3
|
||||
elseif kalman_algo == 3 | kalman_algo == 4
|
||||
data1 = Y - trend;
|
||||
[alphahat,epsilonhat,etahat,ahat,aK] = ...
|
||||
DiffuseKalmanSmootherH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
|
||||
if all(alphahat(:)==0)
|
||||
kalman_algo = 4;
|
||||
if kalman_algo == 3
|
||||
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
|
||||
DiffuseKalmanSmootherH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
|
||||
if all(alphahat(:)==0)
|
||||
kalman_algo = 4;
|
||||
if ~estim_params_.ncn
|
||||
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
|
||||
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
|
||||
else
|
||||
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
|
||||
DiffuseKalmanSmootherH3corr_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
|
||||
nobs,np,smpl);
|
||||
end
|
||||
end
|
||||
else
|
||||
if ~estim_params_.ncn
|
||||
[alphahat,epsilonhat,etahat,ahat,aK] = ...
|
||||
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
|
||||
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
|
||||
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
|
||||
nobs,np,smpl);
|
||||
else
|
||||
[alphahat,epsilonhat,etahat,ahat,aK] = ...
|
||||
[alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
|
||||
DiffuseKalmanSmootherH3corr_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
|
||||
nobs,np,smpl);
|
||||
end
|
||||
end
|
||||
elseif kalman_algo == 4
|
||||
data1 = Y - trend;
|
||||
if ~estim_params_.ncn
|
||||
[alphahat,epsilonhat,etahat,ahat,aK] = ...
|
||||
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
|
||||
nobs,np,smpl);
|
||||
else
|
||||
[alphahat,epsilonhat,etahat,ahat,aK] = ...
|
||||
DiffuseKalmanSmootherH3corr_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
|
||||
nobs,np,smpl);
|
||||
alphahat = QT*alphahat;
|
||||
ahat = QT*ahat;
|
||||
nk = options_.nk;
|
||||
for jnk=1:nk
|
||||
aK(jnk,:,:) = QT*squeeze(aK(jnk,:,:));
|
||||
for i=1:size(PK,4)
|
||||
PK(jnk,:,:,i) = QT*squeeze(PK(jnk,:,:,i))*QT';
|
||||
end
|
||||
for i=1:size(decomp,4)
|
||||
decomp(jnk,:,:,i) = QT*squeeze(decomp(jnk,:,:,i));
|
||||
end
|
||||
end
|
||||
for i=1:size(P,4)
|
||||
P(:,:,i) = QT*squeeze(P(:,:,i))*QT';
|
||||
end
|
||||
end
|
||||
else
|
||||
|
|
|
|||
|
|
@ -333,7 +333,7 @@ if options_.mode_compute == 0 & length(options_.mode_file) == 0
|
|||
end
|
||||
for i=1:M_.endo_nbr
|
||||
eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = atT(i,:)'';']);
|
||||
eval(['oo_.FilteredVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = squeeze(aK(1,i,:))'';']);
|
||||
eval(['oo_.FilteredVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = squeeze(aK(1,i,:));']);
|
||||
eval(['oo_.UpdatedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = updated_variables(i,:)'';']);
|
||||
end
|
||||
for i=1:M_.exo_nbr
|
||||
|
|
@ -978,7 +978,7 @@ if (~((any(bayestopt_.pshape > 0) & options_.mh_replic) | (any(bayestopt_.pshape
|
|||
end
|
||||
for i=1:M_.endo_nbr
|
||||
eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = atT(i,:)'';']);
|
||||
eval(['oo_.FilteredVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = squeeze(aK(1,i,:))'';']);
|
||||
eval(['oo_.FilteredVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = squeeze(aK(1,i,:));']);
|
||||
eval(['oo_.UpdatedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ...
|
||||
' = updated_variables(i,:)'';']);
|
||||
end
|
||||
|
|
|
|||
Loading…
Reference in New Issue