Commit Graph

13 Commits (237aa465d23fb3113a27cf2d8f9932bd3c2e2e8f)

Author SHA1 Message Date
Johannes Pfeifer 869147c13a Kalman filter functions: clarify header comments 2021-01-18 17:33:21 +01:00
Sébastien Villemot 7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments 2018-11-13 18:02:09 +01:00
Stéphane Adjemian (Charybdis) a53636e24e Fixed copyright notices. 2017-05-16 14:11:15 +02:00
Stéphane Adjemian (Charybdis) 88e1701289 Removed useless commas and semicolons. 2017-05-16 13:24:46 +02:00
Marco Ratto 05fc096569 Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
Sébastien Villemot 129553579a Merge remote-tracking branch 'ratto/master' 2012-06-08 18:24:18 +02:00
Sébastien Villemot 1f9cea669a Update copyright notices 2012-06-08 18:22:34 +02:00
Marco Ratto 2fecf9946b 1) Extended optimizer = 5 for analytic derivatives;
2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
Marco Ratto da9ec0f187 Estimation with analytic scores and hessian;
This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
Stéphane Adjemian (Charybdis) ecac871435 Changed the name of DsgeLikelihood (-> dsge_likelihood). 2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Charybdis) fc21af10ea Cosmetic changes. 2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis) ffbb5bc765 Added texinfo header. 2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Scylla) f2ca6d0ad9 Changed kalman filter routines to allow for arbitrary initial conditions (needed for the introduction of breaks on the estimated
parameters and also for the estimation of the initial states).

Added specialized routines for steady state  kalman filter.

Completed header of DsgeLikelihood (missing refs to the routines called by DsgeLikelihood).
2011-09-19 17:01:24 +02:00