kalman_filter.m: fix bug when using analytic_derivation
parent
78a4bca383
commit
c6c9b4e356
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@ -53,7 +53,7 @@ function [LIK, LIKK, a, P] = kalman_filter(Y,start,last,a,P,kalman_tol,riccati_t
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%! @table @ @var
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%! @item LIK
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%! Double scalar, value of (minus) the likelihood.
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%! @item likk
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%! @item LIKK
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%! Column vector of doubles, values of the density of each observation.
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%! @item a
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%! Vector (@var{mm}*1) of doubles, mean of the state vector at the end of the (sub)sample.
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@ -254,9 +254,9 @@ end
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if t <= last
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if analytic_derivation
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if analytic_derivation==2
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[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, D2a, D2T, D2Yss);
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[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, log_dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, D2a, D2T, D2Yss);
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else
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[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, asy_hess);
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[tmp, tmp2] = kalman_filter_ss(Y, t, last, a, T, K, iF, log_dF, Z, pp, Zflag, analytic_derivation, Da, DT, DYss, asy_hess);
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end
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likk(s+1:end) = tmp2{1};
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dlikk(s+1:end,:) = tmp2{2};
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@ -209,10 +209,10 @@ end
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if t <= last
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if analytic_derivation
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if analytic_derivation==2
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[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag, ...
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[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,log(dF),Z,pp,Zflag, ...
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analytic_derivation,Da,DT,DYss,D2a,D2T,D2Yss);
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else
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[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,dF,Z,pp,Zflag, ...
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[tmp, tmp2] = kalman_filter_ss(Y,t,last,a,T,K,iF,log(dF),Z,pp,Zflag, ...
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analytic_derivation,Da,DT,DYss,asy_hess);
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end
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likk(s+1:end)=tmp2{1};
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