Sébastien Villemot
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565d61aad3
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Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
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2021-01-22 18:32:42 +01:00 |
Johannes Pfeifer
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c6c9b4e356
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kalman_filter.m: fix bug when using analytic_derivation
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2021-01-22 14:54:17 +01:00 |
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Johannes Pfeifer
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869147c13a
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Kalman filter functions: clarify header comments
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2021-01-18 17:33:21 +01:00 |
Stéphane Adjemian (Charybdis)
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5417b27ac7
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Fixed indentation of matlab files.
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2017-05-16 15:10:20 +02:00 |
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Stéphane Adjemian (Charybdis)
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a53636e24e
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Fixed copyright notices.
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2017-05-16 14:11:15 +02:00 |
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Stéphane Adjemian (Charybdis)
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88e1701289
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Removed useless commas and semicolons.
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2017-05-16 13:24:46 +02:00 |
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Stéphane Adjemian (Charybdis)
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c1b6a58eb7
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Manually revert 05fc096569.
Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437.
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2017-04-27 10:44:27 +02:00 |
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Johannes Pfeifer
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8dc96cafa4
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If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
See discussion on mailing list 18/06/2016
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2016-08-22 19:24:35 +02:00 |
Marco Ratto
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05fc096569
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Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
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2015-10-13 17:15:01 +02:00 |
Michel Juillard
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bbd95b3a60
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adding Ed Herbst fast implementation of the Kalman filter and test
cases with timing. Still needs preprocessor interface (option) and documentation.
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2013-02-21 17:47:16 +01:00 |