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Re-set default of new option diffuse_kalman_tol to 1e-6: 

former hardcoded value was 1e-6 in the univariate smoother (i.e. the one most often used).
Updated documentation.
time-shift
Marco Ratto 2015-04-08 15:44:39 +02:00
parent 104e4767a4
commit fe48de4406
2 changed files with 2 additions and 2 deletions
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2
doc/dynare.texi
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@ -5222,7 +5222,7 @@ singularity is encountered, Dynare by default automatically switches to the univ
@anchor{kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors during the Kalman filter (minimum allowed reciprocal of the matrix condition number). Default value is @code{1e-10}
@item diffuse_kalman_tol = @var{DOUBLE}
@anchor{diffuse_kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors (@math{F_{\infty}}) and the rank of the covariance matrix of the state variables (@math{P_{\infty}}) during the Diffuse Kalman filter. Default value is @code{1e-8}
@anchor{diffuse_kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors (@math{F_{\infty}}) and the rank of the covariance matrix of the non-stationary state variables (@math{P_{\infty}}) during the Diffuse Kalman filter. Default value is @code{1e-6}
@item filter_covariance
@anchor{filter_covariance} Saves the series of one step ahead error of

2
matlab/global_initialization.m
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@ -387,7 +387,7 @@ options_.nobs = NaN;
options_.kalman_algo = 0;
options_.fast_kalman = 0;
options_.kalman_tol = 1e-10;
options_.diffuse_kalman_tol = 1e-8;
options_.diffuse_kalman_tol = 1e-6;
options_.use_univariate_filters_if_singularity_is_detected = 1;
options_.riccati_tol = 1e-6;
options_.lik_algo = 1;