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Fix bug in multivariate Kalman smoother when observations are missing 

The singularity branch did not correctly account for the switching number of observables
time-shift
Johannes Pfeifer 2018-01-12 21:32:59 +01:00 committed by Stéphane Adjemian (Charybdis)
parent dde1acd18d
commit cbc0cdfef8
1 changed files with 7 additions and 7 deletions
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14
matlab/missing_DiffuseKalmanSmootherH1_Z.m
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@ -49,7 +49,7 @@ function [alphahat,epsilonhat,etahat,atilde,P,aK,PK,decomp,V] = missing_DiffuseK
% Durbin/Koopman (2012): "Time Series Analysis by State Space Methods", Oxford University Press,
% Second Edition, Ch. 5
% Copyright (C) 2004-2017 Dynare Team
% Copyright (C) 2004-2018 Dynare Team
%
% This file is part of Dynare.
%
@ -134,9 +134,9 @@ while rank(Pinf(:,:,t+1),diffuse_kalman_tol) && t<smpl
return
else %rank of F_{\infty,t} is 0
Finf_singular(1,t) = 1;
Fstar(:,:,t) = ZZ*Pstar(:,:,t)*ZZ' + H(di,di); % (5.7) in DK (2012)
if rcond(Fstar(:,:,t)) < kalman_tol %F_{*} is singular
if ~all(abs(Fstar(:,:,t))<kalman_tol)
Fstar(di,di,t) = ZZ*Pstar(:,:,t)*ZZ' + H(di,di); % (5.7) in DK (2012)
if rcond(Fstar(di,di,t)) < kalman_tol %F_{*} is singular
if ~all(all(abs(Fstar(di,di,t))<kalman_tol))
% The univariate diffuse kalman filter should be used.
alphahat = Inf;
return
@ -146,12 +146,12 @@ while rank(Pinf(:,:,t+1),diffuse_kalman_tol) && t<smpl
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
end
else
iFstar(:,:,t) = inv(Fstar(:,:,t));
Kstar(:,:,t) = Pstar(:,:,t)*ZZ'*iFstar(:,:,t); %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
iFstar(di,di,t) = inv(Fstar(di,di,t));
Kstar(:,di,t) = Pstar(:,:,t)*ZZ'*iFstar(di,di,t); %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); % DK (2012), 5.16
Lstar(:,:,t) = T - T*Kstar(:,di,t)*ZZ; %L^(0) in DK (2012), eq. 5.12
Pstar(:,:,t+1) = T*Pstar(:,:,t)*Lstar(:,:,t)'+QQ; % (5.17) DK (2012)
a(:,t+1) = T*(a(:,t)+Kstar(:,:,t)*v(:,t)); % (5.13) DK (2012)
a(:,t+1) = T*(a(:,t)+Kstar(:,di,t)*v(di,t)); % (5.13) DK (2012)
end
end
else