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Merge pull request #967 from JohannesPfeifer/Tarb_fixes 

Tarb fixes
time-shift
Houtan Bastani 2015-07-06 09:36:52 +02:00
parent 3b142de609 d76b3a722e
commit f900fd99f3
2 changed files with 3 additions and 3 deletions
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2
matlab/TaRB_metropolis_hastings_core.m
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@ -178,7 +178,7 @@ for curr_chain = fblck:nblck,
inverse_hessian_mat=eye(nxopt)*1e-4; %use diagonal
end
end
[proposal_covariance_Cholesky_decomposition_upper,negeigenvalues]=cholcov(inverse_hessian_mat,0);
[proposal_covariance_Cholesky_decomposition_upper,negeigenvalues]=chol(inverse_hessian_mat);
%if not positive definite, use generalized Cholesky if
%Eskow/Schnabel
if negeigenvalues~=0

4
tests/estimation/TaRB/fs2000_tarb.mod
View File

@ -114,9 +114,9 @@ end;
varobs gp_obs gy_obs;
options_.silent_optimizer=1;
estimation(order=1, datafile='../fsdat_simul',nobs=192, loglinear, mh_replic=30, mh_nblocks=2, mh_jscale=0.5,mode_compute=4,
use_TaRB,
tarb_mode_compute=4,
tarb_new_block_probability=0.3
tarb_new_block_probability=0.3,
silent_optimizer
);