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correcting bugs in Kalman Smoother 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-10-26 20:10:58 +00:00
parent 0e125f541e
commit ae0c71bfd9
12 changed files with 197 additions and 307 deletions
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29
matlab/DiffuseKalmanSmoother1.m
View File

@ -78,7 +78,7 @@ QQ = R*Q*transpose(R);
QRt = Q*transpose(R); QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
Z = zeros(pp,mm); Z = zeros(pp,mm);
for i=1:pp; for i=1:pp;
@ -158,27 +158,20 @@ while t<smpl
end end
end end
t = smpl+1; t = smpl+1;
while t>d+1 & t>2 while t>d+1
t = t-1; t = t-1;
r(:,t-1) = transpose(Z)*iF(:,:,t)*v(:,t) + transpose(L(:,:,t))*r(:,t); r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1); alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = r(:,d); r0 = zeros(mm,d+1);
r1 = zeros(mm,d); r0(:,d+1) = r(:,d+1);
for t = d:-1:2 r1 = zeros(mm,d+1);
r0(:,t-1) = transpose(Linf(:,:,t))*r0(:,t); for t = d:-1:1
r1(:,t-1) = transpose(Z)*(iFinf(:,:,t)*v(:,t)-transpose(Kstar(:,:,t))*r0(:,t)) + transpose(Linf(:,:,t))*r1(:,t); r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,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); etahat(:,t) = QRt*r0(:,t);
end 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 end

30
matlab/DiffuseKalmanSmoother1_Z.m
View File

@ -88,7 +88,7 @@ QQ = R*Q*transpose(R);
QRt = Q*transpose(R); QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
t = 0; t = 0;
while rank(Pinf(:,:,t+1),crit1) & t<smpl while rank(Pinf(:,:,t+1),crit1) & t<smpl
@ -169,30 +169,22 @@ while t<smpl
end end
end end
t = smpl+1; t = smpl+1;
while t>d+1 & t>2 while t>d+1
t = t-1; t = t-1;
r(:,t-1) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t); r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1); alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
end end
if d if d
r0 = zeros(mm,d); r0 = zeros(mm,d+1);
r0(:,d) = r(:,d); r0(:,d+1) = r(:,d+1);
r1 = zeros(mm,d); r1 = zeros(mm,d+1);
for t = d:-1:2 for t = d:-1:1
r0(:,t-1) = Linf(:,:,t)'*r0(:,t); r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
r1(:,t-1) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t)) + Linf(:,:,t)'*r1(:,t); 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-1) + Pinf(:,:,t)*r1(:,t-1); alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
etahat(:,t) = QRt*r0(:,t); etahat(:,t) = QRt*r0(:,t);
end 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 end
if nargout > 7 if nargout > 7

60
matlab/DiffuseKalmanSmoother3.m
View File

@ -93,7 +93,7 @@ QQ = R*Q*transpose(R);
QRt = Q*transpose(R); QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
Z = zeros(pp,mm); Z = zeros(pp,mm);
for i=1:pp; for i=1:pp;
@ -203,7 +203,7 @@ while notsteady & t<smpl
P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1)); P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1));
end end
end end
a(:,t+1) = T*a(:,t); a1(:,t+1) = T*a(:,t);
for jnk=1:nk, for jnk=1:nk,
aK(jnk,:,t+jnk) = T^jnk*a(:,t); aK(jnk,:,t+jnk) = T^jnk*a(:,t);
end end
@ -235,65 +235,43 @@ while t<smpl
aK(jnk,:,t+jnk) = T^jnk*a(:,t); aK(jnk,:,t+jnk) = T^jnk*a(:,t);
end end
end end
ri=r; ri=zeros(mm,1);
t = smpl+1; t = smpl+1;
while t>d+1 & t>2, while t>d+1
t = t-1; t = t-1;
for i=pp:-1:1 for i=pp:-1:1
if Fi(i,t) > crit 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
end end
r(:,t-1) = ri(:,t); r(:,t) = ri;
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1); alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
ri(:,t-1) = transpose(T)*ri(:,t); ri = T'*ri;
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = ri(:,d); r0 = zeros(mm,d);
r0(:,d) = ri;
r1 = zeros(mm,d); r1 = zeros(mm,d);
for t = d:-1:2 for t = d:-1:1
for i=pp:-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 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)*v(:,t)/Finf(i,t) + ... BUG HERE in transpose(Z)
r1(:,t) = transpose(Z(i,:))*v(i,t)/Finf(i,t) + ... r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t); L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t); r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
elseif Fstar(i,t) > crit % step needed whe Finf == 0 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
end end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t); 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); etahat(:,t) = QRt*r(:,t);
r0(:,t-1) = transpose(T)*r0(:,t); if t > 1
r1(:,t-1) = transpose(T)*r1(:,t); r0(:,t-1) = T'*r0(:,t);
end r1(:,t-1) = T'*r1(:,t);
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
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 end

44
matlab/DiffuseKalmanSmoother3_Z.m
View File

@ -243,26 +243,28 @@ while t<smpl
PK(jnk,:,:,t+jnk) = Pf; PK(jnk,:,:,t+jnk) = Pf;
end end
end end
ri=r; ri=zeros(mm,1);
t = smpl+1; t = smpl+1;
while t>d+1 & t>2, while t > d+1
t = t-1; t = t-1;
for i=pp:-1:1 for i=pp:-1:1
if Fi(i,t) > crit 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
end end
r(:,t-1) = ri(:,t); r(:,t) = ri;
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1); alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
ri(:,t-1) = T'*ri(:,t); ri = T'*ri;
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = ri(:,d); r0 = zeros(mm,d);
r0(:,d) = ri;
r1 = zeros(mm,d); r1 = zeros(mm,d);
for t = d:-1:2 for t = d:-1:1
for i=pp:-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 % 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) + ... r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t); L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
r0(:,t) = Linf(:,:,i,t)'*r0(:,t); r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
@ -271,33 +273,13 @@ if d
end end
end end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t); 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); etahat(:,t) = QRt*r(:,t);
if t > 1
r0(:,t-1) = T'*r0(:,t); r0(:,t-1) = T'*r0(:,t);
r1(:,t-1) = T'*r1(:,t); r1(:,t-1) = T'*r1(:,t);
end 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;
end 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 end
if nargout > 7 if nargout > 7

29
matlab/DiffuseKalmanSmootherH1.m
View File

@ -79,7 +79,7 @@ QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
epsilonhat = zeros(size(Y)); epsilonhat = zeros(size(Y));
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
Z = zeros(pp,mm); Z = zeros(pp,mm);
for i=1:pp; for i=1:pp;
@ -156,28 +156,21 @@ while t<smpl
end end
end end
t = smpl+1; t = smpl+1;
while t>d+1 & t>2 while t>d+1
t = t-1; t = t-1;
r(:,t-1) = transpose(Z)*iF(:,:,t)*v(:,t) + transpose(L(:,:,t))*r(:,t); r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1); alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = r(:,d); r0 = zeros(mm,d+1);
r1 = zeros(mm,d); r0(:,d+1) = r(:,d+1);
for t = d:-1:2 r1 = zeros(mm,d+1);
r0(:,t-1) = transpose(Linf(:,:,t))*r0(:,t); for t = d:-1:1
r1(:,t-1) = transpose(Z)*(iFinf(:,:,t)*v(:,t)-transpose(Kstar(:,:,t))*r0(:,t)) + transpose(Linf(:,:,t))*r1(:,t); r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t-1) + Pinf(:,:,t)*r1(:,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); etahat(:,t) = QRt*r0(:,t);
end 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 end
epsilonhat = Y-alphahat(mf,:)-trend; epsilonhat = Y-alphahat(mf,:)-trend;

30
matlab/DiffuseKalmanSmootherH1_Z.m
View File

@ -91,7 +91,7 @@ QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
epsilonhat = zeros(size(Y)); epsilonhat = zeros(size(Y));
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
t = 0; t = 0;
while rank(Pinf(:,:,t+1),crit1) & t<smpl while rank(Pinf(:,:,t+1),crit1) & t<smpl
@ -172,30 +172,22 @@ while t<smpl
end end
end end
t = smpl+1; t = smpl+1;
while t>d+1 & t>2 while t>d+1
t = t-1; t = t-1;
r(:,t-1) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t); r(:,t) = Z'*iF(:,:,t)*v(:,t) + L(:,:,t)'*r(:,t+1);
alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t-1); alphahat(:,t) = a(:,t) + P(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
end end
if d if d
r0 = zeros(mm,d); r0 = zeros(mm,d+1);
r0(:,d) = r(:,d); r0(:,d+1) = r(:,d+1);
r1 = zeros(mm,d); r1 = zeros(mm,d+1);
for t = d:-1:2 for t = d:-1:1
r0(:,t-1) = Linf(:,:,t)'*r0(:,t); r0(:,t) = Linf(:,:,t)'*r0(:,t+1);
r1(:,t-1) = Z'*(iFinf(:,:,t)*v(:,t)-Kstar(:,:,t)'*r0(:,t)) + Linf(:,:,t)'*r1(:,t); 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-1) + Pinf(:,:,t)*r1(:,t-1); alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t);
etahat(:,t) = QRt*r0(:,t); etahat(:,t) = QRt*r0(:,t);
end 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 end
if nargout > 7 if nargout > 7

55
matlab/DiffuseKalmanSmootherH3.m
View File

@ -95,7 +95,7 @@ QRt = Q*transpose(R);
alphahat = zeros(mm,smpl); alphahat = zeros(mm,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
epsilonhat = zeros(size(Y)); epsilonhat = zeros(size(Y));
r = zeros(mm,smpl); r = zeros(mm,smpl+1);
Z = zeros(pp,mm); Z = zeros(pp,mm);
for i=1:pp; for i=1:pp;
@ -237,65 +237,42 @@ while t<smpl
aK(jnk,:,t+jnk) = T^jnk*a(:,t); aK(jnk,:,t+jnk) = T^jnk*a(:,t);
end end
end end
ri=r; ri=zeros(mm,1);
t = smpl+1; t = smpl+1;
while t>d+1 & t>2, while t>d+1
t = t-1; t = t-1;
for i=pp:-1:1 for i=pp:-1:1
if Fi(i,t) > crit 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
end end
r(:,t-1) = ri(:,t); r(:,t) = ri;
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1); alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
ri(:,t-1) = transpose(T)*ri(:,t); ri = T'*ri;
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = ri(:,d); r0 = zeros(mm,d);
r0(:,d) = ri;
r1 = zeros(mm,d); r1 = zeros(mm,d);
for t = d:-1:2 for t = d:-1:1
for i=pp:-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 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) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
r1(:,t) = transpose(Z(i,:))*v(i,t)/Finf(i,t) + ... L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t); r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t);
elseif Fstar(i,t) > crit % step needed whe Finf == 0 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
end end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t); 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); etahat(:,t) = QRt*r(:,t);
if t > 1
r0(:,t-1) = transpose(T)*r0(:,t); r0(:,t-1) = transpose(T)*r0(:,t);
r1(:,t-1) = transpose(T)*r1(:,t); r1(:,t-1) = transpose(T)*r1(:,t);
end 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
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 end
epsilonhat = Y-alphahat(mf,:)-trend; epsilonhat = Y-alphahat(mf,:)-trend;

42
matlab/DiffuseKalmanSmootherH3_Z.m
View File

@ -245,26 +245,28 @@ while t<smpl
PK(jnk,:,:,t+jnk) = Pf; PK(jnk,:,:,t+jnk) = Pf;
end end
end end
ri=r; ri=zeros(mm,1);
t = smpl+1; t = smpl+1;
while t>d+1 & t>2, while t>d+1
t = t-1; t = t-1;
for i=pp:-1:1 for i=pp:-1:1
if Fi(i,t) > crit 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
end end
r(:,t-1) = ri(:,t); r(:,t) = ri(:,t);
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1); alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
etahat(:,t) = QRt*r(:,t); etahat(:,t) = QRt*r(:,t);
ri(:,t-1) = T'*ri(:,t); ri = T'*ri;
end end
if d if d
r0 = zeros(mm,d); r0(:,d) = ri(:,d); r0 = zeros(mm,d);
r0(:,d) = ri;
r1 = zeros(mm,d); r1 = zeros(mm,d);
for t = d:-1:2 for t = d:-1:2
for i=pp:-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 % 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) + ... r1(:,t) = Z(i,:)'*v(i,t)/Finf(i,t) + ...
L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t); L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
r0(:,t) = Linf(:,:,i,t)'*r0(:,t); r0(:,t) = Linf(:,:,i,t)'*r0(:,t);
@ -273,33 +275,13 @@ if d
end end
end end
alphahat(:,t) = a1(:,t) + Pstar1(:,:,t)*r0(:,t) + Pinf1(:,:,t)*r1(:,t); 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); etahat(:,t) = QRt*r(:,t);
if t > 1
r0(:,t-1) = T'*r0(:,t); r0(:,t-1) = T'*r0(:,t);
r1(:,t-1) = T'*r1(:,t); r1(:,t-1) = T'*r1(:,t);
end 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;
end 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 end
if nargout > 7 if nargout > 7

53
matlab/DiffuseKalmanSmootherH3corr.m
View File

@ -85,7 +85,7 @@ QRt = Q*transpose(R);
alphahat = zeros(mm+pp,smpl); alphahat = zeros(mm+pp,smpl);
etahat = zeros(rr,smpl); etahat = zeros(rr,smpl);
epsilonhat = zeros(pp,smpl); epsilonhat = zeros(pp,smpl);
r = zeros(mm+pp,smpl); r = zeros(mm+pp,smpl+1);
Z = zeros(pp,mm+pp); Z = zeros(pp,mm+pp);
for i=1:pp; for i=1:pp;
Z(i,mf(i)) = 1; Z(i,mf(i)) = 1;
@ -192,30 +192,31 @@ while t<smpl
end end
%% [2] Kalman smoother... %% [2] Kalman smoother...
ri=r; ri=zeros(mm,1);
t = smpl+1; t = smpl+1;
while t>d+1 & t>2, while t>d+1
t = t-1; t = t-1;
for i=pp:-1:1 for i=pp:-1:1
if Fi(i,t) > crit 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
end end
r(:,t-1) = ri(:,t); r(:,t) = ri(:,t);
alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t-1); alphahat(:,t) = a1(:,t) + P1(:,:,t)*r(:,t);
tmp = QRt*r(:,t); tmp = QRt*r(:,t);
etahat(:,t) = tmp(1:rr); etahat(:,t) = tmp(1:rr);
epsilonhat(:,t) = tmp(rr+1:rr+pp); epsilonhat(:,t) = tmp(rr+(1:pp));
ri(:,t-1) = transpose(T)*ri(:,t); ri = T'*ri;
end end
if d if d
r0 = zeros(mm+pp,d); r0(:,d) = ri(:,d); r0 = zeros(mm+pp,d);
r0(:,d) = ri;
r1 = zeros(mm+pp,d); r1 = zeros(mm+pp,d);
for t = d:-1:2 for t = d:-1:1
for i=pp:-1:1 for i=pp:-1:1
if Finf(i,t) > crit if Finf(i,t) > crit
r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ... r1(:,t) = transpose(Z)*v(:,t)/Finf(i,t) + ...
transpose(L0(:,:,i,t))*r0(:,t) + transpose(Linf(:,:,i,t))*r1(:,t); L0(:,:,i,t)'*r0(:,t) + Linf(:,:,i,t)'*r1(:,t);
r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t); r0(:,t) = transpose(Linf(:,:,i,t))*r0(:,t);
end end
end end
@ -223,33 +224,11 @@ if d
r(:,t-1) = r0(:,t); r(:,t-1) = r0(:,t);
tmp = QRt*r(:,t); tmp = QRt*r(:,t);
etahat(:,t) = tmp(1:rr); etahat(:,t) = tmp(1:rr);
epsilonhat(:,t) = tmp(rr+1:rr+pp); epsilonhat(:,t) = tmp(rr+(1:pp));
r0(:,t-1) = transpose(T)*r0(:,t); if t > 1
r1(:,t-1) = transpose(T)*r1(:,t); r0(:,t-1) = T'*r0(:,t);
end r1(:,t-1) = T'*r1(:,t);
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;
end end
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 end
alphahat = alphahat(1:mm,:); alphahat = alphahat(1:mm,:);

2
matlab/DsgeLikelihood.m
View File

@ -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); 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 end
case 3% Diffuse Kalman filter. case 3% Diffuse Kalman filter.
if nargin==3 if no_missing_data_flag
data1 = data - trend; data1 = data - trend;
if any(any(H ~= 0)) if any(any(H ~= 0))
LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,start); LIK = DiffuseLikelihoodH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,start);

38
matlab/DsgeSmoother.m
View File

@ -108,15 +108,21 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
kalman_algo = options_.kalman_algo; kalman_algo = options_.kalman_algo;
if options_.lik_init == 1 % Kalman filter if options_.lik_init == 1 % Kalman filter
if kalman_algo ~= 2
kalman_algo = 1; kalman_algo = 1;
end
Pstar = lyapunov_symm(T,R*Q*transpose(R),options_.qz_criterium); Pstar = lyapunov_symm(T,R*Q*transpose(R),options_.qz_criterium);
Pinf = []; Pinf = [];
elseif options_.lik_init == 2 % Old Diffuse Kalman filter elseif options_.lik_init == 2 % Old Diffuse Kalman filter
if kalman_algo ~= 2
kalman_algo = 1; kalman_algo = 1;
end
Pstar = 10*eye(np); Pstar = 10*eye(np);
Pinf = []; Pinf = [];
elseif options_.lik_init == 3 % Diffuse Kalman filter elseif options_.lik_init == 3 % Diffuse Kalman filter
if kalman_algo ~= 4
kalman_algo = 3; kalman_algo = 3;
end
[QT,ST] = schur(T); [QT,ST] = schur(T);
if exist('OCTAVE_VERSION') || matlab_ver_less_than('7.0.1') if exist('OCTAVE_VERSION') || matlab_ver_less_than('7.0.1')
e1 = abs(my_ordeig(ST)) > 2-options_.qz_criterium; e1 = abs(my_ordeig(ST)) > 2-options_.qz_criterium;
@ -212,33 +218,49 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,d,
DiffuseKalmanSmootherH3corr(T,R,Q,H,Pinf,Pstar,Y,trend, ... DiffuseKalmanSmootherH3corr(T,R,Q,H,Pinf,Pstar,Y,trend, ...
nobs,np,smpl,mf); nobs,np,smpl,mf);
end end
elseif kalman_algo == 3 elseif kalman_algo == 3 | kalman_algo == 4
data1 = Y - trend; data1 = Y - trend;
[alphahat,epsilonhat,etahat,ahat,aK] = ... 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); DiffuseKalmanSmootherH1_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
if all(alphahat(:)==0) if all(alphahat(:)==0)
kalman_algo = 4; kalman_algo = 4;
if ~estim_params_.ncn if ~estim_params_.ncn
[alphahat,epsilonhat,etahat,ahat,aK] = ... [alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl); DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1,nobs,np,smpl);
else 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, ... DiffuseKalmanSmootherH3corr_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
nobs,np,smpl); nobs,np,smpl);
end end
end end
elseif kalman_algo == 4 else
data1 = Y - trend;
if ~estim_params_.ncn if ~estim_params_.ncn
[alphahat,epsilonhat,etahat,ahat,aK] = ... [alphahat,epsilonhat,etahat,ahat,P,aK,PK,d,decomp] = ...
DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ... DiffuseKalmanSmootherH3_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
nobs,np,smpl); nobs,np,smpl);
else 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, ... DiffuseKalmanSmootherH3corr_Z(ST,Z,R1,Q,H,Pinf,Pstar,data1, ...
nobs,np,smpl); nobs,np,smpl);
end end
end end
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 else
if kalman_algo == 1 if kalman_algo == 1
[alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf); [alphahat,etahat,ahat,aK] = DiffuseKalmanSmoother1(T,R,Q,Pinf,Pstar,Y,trend,nobs,np,smpl,mf);

4
matlab/dynare_estimation.m
View File

@ -333,7 +333,7 @@ if options_.mode_compute == 0 & length(options_.mode_file) == 0
end end
for i=1:M_.endo_nbr for i=1:M_.endo_nbr
eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = atT(i,:)'';']); 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,:)'';']); eval(['oo_.UpdatedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = updated_variables(i,:)'';']);
end end
for i=1:M_.exo_nbr for i=1:M_.exo_nbr
@ -978,7 +978,7 @@ if (~((any(bayestopt_.pshape > 0) & options_.mh_replic) | (any(bayestopt_.pshape
end end
for i=1:M_.endo_nbr for i=1:M_.endo_nbr
eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ' = atT(i,:)'';']); 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),:)) ... eval(['oo_.UpdatedVariables.' deblank(M_.endo_names(dr.order_var(i),:)) ...
' = updated_variables(i,:)'';']); ' = updated_variables(i,:)'';']);
end end