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fixed rare bug in Kalman filter when one should switch to steady state 

filter in last period of the sample
time-shift
Michel Juillard 2012-05-01 14:07:03 +02:00
parent 41def7caaa
commit c15123878f
3 changed files with 3 additions and 3 deletions
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2
matlab/kalman/likelihood/kalman_filter.m
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@ -210,7 +210,7 @@ end
likk(1:s) = .5*(likk(1:s) + pp*log(2*pi));
% Call steady state Kalman filter if needed.
if t<last
if t <= last
if analytic_derivation,
if analytic_derivation==2,
[tmp, likk(s+1:end)] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag, ...

2
matlab/kalman/likelihood/missing_observations_kalman_filter.m
View File

@ -134,7 +134,7 @@ end
lik(1:s) = .5*lik(1:s);
% Call steady state Kalman filter if needed.
if t<last
if t<=last
[tmp, lik(s+1:end)] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag);
end

2
matlab/kalman/likelihood/univariate_kalman_filter.m
View File

@ -210,7 +210,7 @@ end
lik(1:s) = .5*lik(1:s);
% Call steady state univariate kalman filter if needed.
if t<last
if t <= last
if analytic_derivation,
if analytic_derivation==2,
[tmp, lik(s+1:end)] = univariate_kalman_filter_ss(Y,t,last,a,P,kalman_tol,T,H,Z,pp,Zflag, ...