Merge pull request #518 from JohannesPfeifer/check_covariance
Add function to check covariances for consistencytime-shift
commit
be983fa363
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@ -0,0 +1,31 @@
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function correct_flag=check_consistency_covariances(Covariance_matrix)
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% function check_consistency_covariances(Covariance_matrix)
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% checks consistency of covariance matrices by checking whether the
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% covariances imply correlations bigger than 1.
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%
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% Outputs: correct_flag [scalar] 0 if not consistent, 1 otherwise
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% Inputs: Covariance_matrix [matrix] covariance matrix to be checked
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% Copyright (C) 2013 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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%compute theoretical bound by assuming correlation of 1
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bound=diag(sqrt(diag(Covariance_matrix)))*ones(size(Covariance_matrix))*diag(sqrt(diag(Covariance_matrix)));
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correct_flag=1;
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if any(any(tril(Covariance_matrix,-1)>bound)) || any(any(tril(Covariance_matrix,-1)<-bound))
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correct_flag=0;
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end
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@ -31,3 +31,12 @@ if (DynareModel.exo_det_nbr > 0) && (DynareModel.maximum_lag > 1 || DynareModel.
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error(['Exogenous deterministic variables are currently only allowed in' ...
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' models with leads and lags on only one period'])
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end
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if ~check_consistency_covariances(DynareModel.Sigma_e)
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error('The specified covariances for the structural errors are not consistent with the variances as they imply a correlation larger than +-1')
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end
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if ~isequal(DynareModel.H,0)
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if ~check_consistency_covariances(DynareModel.H)
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error('The specified covariances for the measurement errors are not consistent with the variances as they imply a correlation larger than +-1')
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end
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end
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