ac2fa68b86
Fixed bug related to the resampling of the particles.
2012-05-04 11:22:17 +02:00
be33621ca5
Fixed texinfo header + Cosmetic changes.
2012-03-30 12:08:13 +02:00
9bfc3f6ec6
Fixed bugs and typos.
2012-03-30 12:00:08 +02:00
2db0c98b9b
Fixed texinfo header.
2012-03-30 11:55:01 +02:00
795d0fce16
Cosmetic changes.
2012-03-30 11:48:23 +02:00
6c6b62937f
Added smooth resampling.
2012-03-30 11:47:24 +02:00
294dbdc52c
Fixed bug in the evaluation of the likelihood.
2012-03-30 11:21:24 +02:00
4aedf7e9c0
Added a commented line to print the effective number of particles if needed.
2012-03-12 10:29:25 +01:00
1ac55d8be8
Fixed bug.
2012-03-09 12:57:58 +01:00
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
f12e8a3754
Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
2012-03-08 16:36:31 +01:00
8184ff3fdd
Fixed bug (wrong calling to the resample routine: missing inputs).
2012-03-08 15:53:20 +01:00
7f1ab166f5
Fixed bug.
2012-03-08 15:44:14 +01:00
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
0d58e1855d
Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands
...
to set the seed of the random number generators).
2012-03-05 14:37:55 +01:00
cc281897e0
Added new routine for non linear filter (auxiliary particle filter).
2012-03-04 22:13:00 +01:00
724b99412f
Added option for kitagawa/stratified approach in traditional resampling.
2012-03-04 22:12:59 +01:00
3b471e3a99
Bug fix. Added missing input (method specification) to the resampling routine.
2012-03-04 22:12:59 +01:00
13f1e62de8
Deleted trailing white spaces.
2012-03-04 22:12:58 +01:00
e882a2ea36
Added unitary test.
2012-03-04 22:09:18 +01:00
0aaa7a8a13
Fixed bug in internal tests of local_state_space_iteration_2 routine.
2012-03-04 22:07:27 +01:00
40329e3e29
Added routine to compute one step ahead state space iteration (mex and m). The state space
...
equations are approximated at order two around the deterministic steady state.
2012-03-04 22:07:27 +01:00
8f95711445
Fixed texinfo header. Added two internal tests.
2012-03-04 22:07:27 +01:00
f9671be3d2
Deleted trailing white space.
2012-03-04 22:07:27 +01:00
939318a380
Added a comment about the timming tests done in the third section of the internal tests.
2012-03-04 22:07:27 +01:00
0a9daa519a
Updated copyright year.
2012-03-04 22:07:27 +01:00
78fe29eeef
Cosmetic changes in texinfo headers. Deleted trailing white spaces. Changed the value of show_time in the third internal test.
2012-03-04 22:07:27 +01:00
2a88e49f9f
Cosmetic changes in texinfo header. Deleted trailing spaces.
2012-03-04 22:07:26 +01:00
83bfaa814e
Added sequential importance particle filter routine.
2012-01-11 16:01:24 +01:00
195ad9f71d
Added Routines for resampling (particle filter).
2012-01-11 16:01:24 +01:00
c250f8f495
Fixed bug in the second unitary test of local_state_equation_2.
2011-12-27 15:01:07 +01:00
16d2fd5673
Fixed bugs. Changed internal documentation.
2011-12-02 12:14:38 +01:00
12a3af8167
Renamed routine. Fixed unitary tests.
2011-12-02 12:14:38 +01:00
a4b299879d
Removed useless debugging info.
2011-09-12 11:46:14 +02:00
bf40c11a35
Removed spurious file
2011-09-08 16:07:59 +02:00
ada3eec81b
Added matlab routine to iterate on the state equation approximated at order 2 (needed for nonlinear filters).
2011-09-05 18:57:42 +02:00
bfde3d2beb
Removed non linear kalman filter files.
2010-02-03 12:37:46 +01:00
e7adf28fbd
A few more copyright fixes
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3316 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-08 09:54:43 +00:00
d8f13d4dae
SIS = standard particular filter
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_2 = variation around mat var-cov calculations
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3312 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-08 08:21:57 +00:00
90f5ab741b
* Added number of particles (10;-) when calling monte_carlo_gaussian_particle_filter from particle/DsgeLiklihood.
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* Cosmetic changes.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3233 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-11 22:25:56 +00:00
b8db5a23a1
latest version ; still buggy
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3232 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-11 17:12:49 +00:00
ae72c409d6
first try for particular filter
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3222 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-11 11:49:02 +00:00
d17b813c6b
Removed wrong executable property
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3142 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-09 11:01:59 +00:00
facc7311a8
Bug fix. Changed the call to the particle filter routine.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3139 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-08 13:47:12 +00:00
2063c0944f
* Removed simult_ and added local_state_space_iteration_2 (a specialized version of simult_).
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* Renamed gaussian_particle_filter.m. Changed the names of the variables in this file. The
gaussian nodes are not stored anymore in a big matrix.
* Added a function to compute the cholesky decomposition of a symetric semidefinite positive
matrix.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3138 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-08 13:46:05 +00:00
b6d5369421
* Added files for extended path simulations.
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* Removed seed from gaussian_particle_filter.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3118 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-03 12:27:22 +00:00
37144125fc
Added simult_ and DsgeLikelihood routines specific to the particle filter.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3110 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-31 07:55:16 +00:00
11bb96f19b
* Added subfolder for particle filters.
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* Added a routine for gaussian particle filter. The likelihood is evaluated
by assuming that the state vector is normally distributed.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3109 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-10-31 07:55:13 +00:00
Stéphane Adjemian (Charybdis)
Sébastien Villemot
stepan@charybdis
sebastien
fred
stepan