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Fixed issue with weights when computing first and second order moments.

time-shift
Stéphane Adjemian (Charybdis) 2012-11-07 10:48:05 +01:00
parent b82813d3f9
commit c7bd05224f
1 changed files with 2 additions and 2 deletions
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4
matlab/particle/sequential_importance_particle_filter.m
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@ -121,10 +121,10 @@ for t=1:sample_size
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
epsilon = Q_lower_triangular_cholesky*randn(number_of_structural_innovations,number_of_particles);
tmp = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,DynareOptions.threads.local_state_space_iteration_2);
PredictedObservedMean = mean(tmp(mf1,:),2);
PredictedObservedMean = tmp(mf1,:)*transpose(weights);
PredictionError = bsxfun(@minus,Y(:,t),tmp(mf1,:));
dPredictedObservedMean = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
PredictedObservedVariance = (dPredictedObservedMean*dPredictedObservedMean')/number_of_particles+H;
PredictedObservedVariance = dPredictedObservedMean*diag(weights)*dPredictedObservedMean' + H;
lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1));
dfac = max(lnw);
wtilde = weights.*exp(lnw-dfac);