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Merge remote branch 'ratto/master'

time-shift
Sébastien Villemot 2010-03-05 11:32:05 +01:00
parent 122a6be38a 3e573f1c35
commit d994ed35ff
3 changed files with 3 additions and 3 deletions
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2
matlab/DiffuseKalmanSmoother3_Z.m
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@ -206,7 +206,7 @@ while notsteady & t<smpl
end
a1(:,t+1) = T*a(:,t);
Pf = P(:,:,t);
aK(1,:,t+1) = a1(:,t+1)
aK(1,:,t+1) = a1(:,t+1);
for jnk=1:nk,
Pf = T*Pf*T' + QQ;
PK(jnk,:,:,t+jnk) = Pf;

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

@ -134,7 +134,7 @@ while t < smpl
Zi = Z(i,:);
prediction_error = Y(i,t) - Zi*a;
Fi = Zi*Pstar*Zi'+H(i);
if Fi > crit
if Fi > kalman_tol
Ki = Pstar*Zi';
a = a + Ki*prediction_error/Fi;
Pstar = Pstar - Ki*Ki'/Fi;

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

@ -183,7 +183,7 @@ while t < smpl
Zi = ZZ(i,:);
prediction_error = Y(i,t) - Zi*a;
Fi = Zi*Pstar*Zi'+H(i);
if Fi > crit
if Fi > kalman_tol
Ki = Pstar*Zi';
a = a + Ki*prediction_error/Fi;
Pstar = Pstar - Ki*Ki'/Fi;