stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Correct header of missing_DiffuseKalmanSmootherH3_Z.m and make sure H is vector

time-shift
Johannes Pfeifer 2016-06-16 16:24:36 +02:00 committed by Stéphane Adjemian (Hermes)
parent 178bf4165c
commit f61453211c
1 changed files with 14 additions and 9 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

23
matlab/missing_DiffuseKalmanSmootherH3_Z.m
View File

@ -1,14 +1,14 @@
function [alphahat,epsilonhat,etahat,a,P,aK,PK,decomp] = missing_DiffuseKalmanSmootherH3_Z(T,Z,R,Q,H,Pinf1,Pstar1,Y,pp,mm,smpl,data_index,nk,kalman_tol,diffuse_kalman_tol,decomp_flag)
% function [alphahat,epsilonhat,etahat,a1,P,aK,PK,d,decomp] = missing_DiffuseKalmanSmootherH3_Z(T,Z,R,Q,H,Pinf1,Pstar1,Y,pp,mm,smpl,data_index,nk,kalman_tol,decomp_flag)
% Computes the diffuse kalman smoother without measurement error, in the case of a singular var-cov matrix.
% Computes the diffuse kalman smoother in the case of a singular var-cov matrix.
% Univariate treatment of multivariate time series.
%
% INPUTS
% T: mm*mm matrix
% Z: pp*mm matrix
% R: mm*rr matrix
% Q: rr*rr matrix
% H: pp*1 vector of variance of measurement errors
% T: mm*mm matrix state transition matrix
% Z: pp*mm matrix selector matrix for observables in augmented state vector
% R: mm*rr matrix second matrix of the state equation relating the structural innovations to the state variables
% Q: rr*rr matrix covariance matrix of structural errors
% H: pp*1 vector of variance of measurement errors
% Pinf1: mm*mm diagonal matrix with with q ones and m-q zeros
% Pstar1: mm*mm variance-covariance matrix with stationary variables
% Y: pp*1 vector
@ -41,8 +41,8 @@ function [alphahat,epsilonhat,etahat,a,P,aK,PK,decomp] = missing_DiffuseKalmanSm
%
% SPECIAL REQUIREMENTS
% See "Filtering and Smoothing of State Vector for Diffuse State Space
% Models", S.J. Koopman and J. Durbin (2003, in Journal of Time Series
% Analysis, vol. 24(1), pp. 85-98).
% Models", S.J. Koopman and J. Durbin (2003), in Journal of Time Series
% Analysis, vol. 24(1), pp. 85-98.
% Copyright (C) 2004-2016 Dynare Team
%
@ -65,6 +65,11 @@ function [alphahat,epsilonhat,etahat,a,P,aK,PK,decomp] = missing_DiffuseKalmanSm
% New output argument aK: 1-step to nk-stpe ahed predictions)
% New input argument nk: max order of predictions in aK
if size(H,2)>1
error('missing_DiffuseKalmanSmootherH3_Z:: H is not a vector. This must not happens')
end
d = 0;
decomp = [];
spinf = size(Pinf1);
@ -72,7 +77,7 @@ spstar = size(Pstar1);
v = zeros(pp,smpl);
a = zeros(mm,smpl);
a1 = zeros(mm,smpl+1);
aK = zeros(nk,mm,smpl+nk);
aK = zeros(nk,mm,smpl+nk);
Fstar = zeros(pp,smpl);
Finf = zeros(pp,smpl);