d7ae0d0039
OccBin: improve consistency - Make name of opts_simul subfield homogeneous for likelihood computation and smoother - fill the new field opts_regime with init_binding_indicator init_regime_history, to avoid possible conflics with simulations done in realtime filtering steps - smoother: use init_binding_indicator and init_regime_history options set in options_.occbin.smoother
2023-12-18 16:16:50 +01:00
8348cf009a
OccBin: enhance search of filtered regime, using new kalman_update_engine.m
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brute_force_regime_guess (default) and loss_function_regime_guess (optional, more time consuming) may be used to search for better solution (i.e. a solution providing better data density). Governed by options_.occbin.likelihood.number_of_initial_periods_with_extra_regime_guess
where the latter is 0 by default and can be set by user
2023-12-18 16:16:46 +01:00
Stéphane Adjemian (Ryûk)
4982ce06b4
Remove unnecessary square brackets.
2023-12-18 10:49:49 +01:00
Stéphane Adjemian (Ryûk)
735bd66d4d
Remove unused output arguments.
2023-12-18 07:48:27 +01:00
79959aa587
Remove duplicate branches in if/then/else statements
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Detected by MATLAB Code Analyzer app.
2023-12-15 15:31:52 +01:00
c3268c0279
Move various functions from main matlab folder to subfolders
2023-12-14 18:29:04 +01:00
de152a3de3
bug fix: indexing must also contain smpl+1 (needed for 1 step ahead forecast in last period when filtering).
2023-12-13 21:01:02 +01:00
5103d55cb4
PKF: add period to debugging information
2023-10-29 11:30:23 +01:00
b3ce518433
Further naming consistency improvements
2023-10-25 11:22:50 +02:00
3a115d4fcc
Remove full oo_ input from likelihood functions
2023-10-02 09:48:34 +02:00
8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
7132cb593e
bug fix for init variables to be defined only with occbin PKF
2023-02-03 14:20:16 +01:00
a346639020
when filter is NOT diffuse, allow likelihood to handle violation of constraints in period 1.
2023-02-03 14:19:28 +01:00
4307711c60
missing_observations_kalman_filter.m: provide debugging information on PKF problems
2023-01-19 11:57:35 +01:00
93ae4849b7
missing_observations_kalman_filter.m: remove unused output whose dimensions grow over time
2022-05-25 12:55:05 +02:00
10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
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It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
2022-04-13 14:54:25 +02:00
1bfb9ffbb9
heteroskedastic shocks: take into account first_obs
2021-12-14 11:21:16 +01:00
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
565d61aad3
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:32:42 +01:00
c6c9b4e356
kalman_filter.m: fix bug when using analytic_derivation
2021-01-22 14:54:17 +01:00
869147c13a
Kalman filter functions: clarify header comments
2021-01-18 17:33:21 +01:00
73291b0b19
before issuing F singularity, check with rescaled F matrix: this spares lots of computing time when singularity only happens in the first KF step.
2020-01-24 14:17:26 +01:00
7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
b933a440bf
Add debugging info to Kalman filter routines
2018-01-26 11:47:39 +01:00
b9741548b0
As we do for the smoother, check the rank of Pinf only for the observables (i.e. using Z*Pinf*Z')
2018-01-26 11:47:39 +01:00
1bf81c9f5a
Fixed copyright notices.
2017-05-18 18:36:38 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
c1b6a58eb7
Manually revert 05fc096569.
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Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437 .
2017-04-27 10:44:27 +02:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
73d0a82267
Add comment on logic of singularity testing in univariate_kalman_filter_d.m
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
8dc96cafa4
If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
36ccec75ce
Add missing constant 2*pi to missing_observations_kalman_filter_d.m
2016-08-22 19:24:35 +02:00
f95619b46a
Add header info to univariate_kalman_filter.m
2016-08-22 19:24:35 +02:00
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
8908d46567
Initialize s to make sure univariate_kalman_filter_d.m does not crash if newRank is 0 initially
2016-04-14 20:11:49 +02:00
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
ca8f0ea006
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
2015-04-08 15:49:12 +02:00
5297836577
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
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Since initial Pinf is well scaled to unity, crit1= 1.e-6 is used for smoother and should also apply to likelihood evaluations.
2015-04-03 18:02:03 +02:00
89fa0ae9b6
Fixed typo.
2014-09-11 17:33:42 +02:00
a6bddb2d57
Improve computation of outer product gradient for univariate Kalman algorithms, by exploiting the larger number of individual densities computed during recursions (used in optimizer number 5).
2014-07-23 16:33:39 +02:00
Johannes Pfeifer
Marco Ratto
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Marco Ratto
Houtan Bastani
Michel Juillard