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9257 Commits (369d8dd7a420704f2fb2988dcb8913c77eeaacb3)

Author SHA1 Message Date
Houtan Bastani 145e2d5542 preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076 2015-10-13 17:41:31 +02:00
Marco Ratto 93e7be66e7 proper use on diffuse_kalman_tol in univariate diffuse filter and smoother 2015-10-13 17:28:29 +02:00
Marco Ratto 0aa7e15d58 - Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues. 
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
 2015-10-13 17:26:39 +02:00
Houtan Bastani f0e94d6475 fix typo 2015-10-13 17:21:32 +02:00
Houtan Bastani b4aa21f018 preprocessor: interface for prior_posterior_function command. closes #1076 2015-10-13 17:16:10 +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
Houtan Bastani 9e28e796d5 preprocessor: simplify code 2015-10-13 15:13:40 +02:00
Houtan Bastani 447b01b0b0 fix typo 2015-10-13 15:13:40 +02:00
Houtan Bastani c45a054c6f modify calling structure of execute_prior_posterior_function and update doc 2015-10-13 15:13:35 +02:00
Johannes Pfeifer cb3804ab51 Remove automatic error from resid.m when steady state does not solve. 
Closes #573
 2015-10-13 13:45:54 +02:00
Johannes Pfeifer 1043a019c2 Save posterior moments even if the distribution is degenerate 
Closes #1024
 2015-10-13 11:47:35 +02:00
Marco Ratto 2d59920a70 - systematically check bounds for each parameter during optimization 
- make htol adaptive to each parameter to speed up computations
 2015-10-13 11:07:01 +02:00
Marco Ratto 61d6e49dfd Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson) 2015-10-13 10:45:35 +02:00
Marco Ratto bc8f546cbb Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done. 2015-10-13 10:44:13 +02:00
Stéphane Adjemian d3eca9338b Merge pull request #1038 from JohannesPfeifer/kernel_density 
Allow computing posterior kernel density
 2015-10-12 23:23:07 +02:00
Michel Juillard 8be2841582 fixing Makefile.am error 2015-10-12 22:39:03 +02:00
Johannes Pfeifer 2c63ca8843 Add unit tests for HP filter, bandpass filter, and spectral density 2015-10-12 21:18:51 +02:00
Johannes Pfeifer 40de494568 Document new filter option 2015-10-12 20:42:04 +02:00
Johannes Pfeifer 40877685f2 Add LaTeX-output option to table from stoch_simul.m 2015-10-12 20:42:04 +02:00
Johannes Pfeifer 38d293b864 Replace globals in disp_th_moments.m by function arguments 2015-10-12 20:42:03 +02:00
Johannes Pfeifer f7ae5e4f60 Adjust table titles to accommodate new filter options 2015-10-12 20:42:02 +02:00
Johannes Pfeifer 3902c86407 Add unit test for variance decomposition 2015-10-12 20:42:02 +02:00
Johannes Pfeifer 281e87f807 Add simulated variance decomposition 2015-10-12 20:42:01 +02:00
Johannes Pfeifer a524681e40 Replace globals in disp_moments.m by function arguments 2015-10-12 20:42:00 +02:00
Johannes Pfeifer 9459ff5d8f Add bandpass filtering to simulated moments 
Also takes precautions for future implementation of one-sided hp filter
 2015-10-12 20:42:00 +02:00
Johannes Pfeifer a4b04ca9b4 Fix UnivariateSpectralDensity.m for filtered variables 
- Adds bandpass filter
- Writes results to oo_
 2015-10-12 20:41:59 +02:00
Johannes Pfeifer 25df325899 Add bandpass filter to th_autocovariances.m 
Also adds documentation
 2015-10-12 20:41:58 +02:00
Johannes Pfeifer e9f2be0c1a Cosmetic changes to UnivariateSpectralDensity.m 2015-10-12 20:41:57 +02:00
Michel Juillard 8bfec92d4d adding missing @end deffn 2015-10-12 16:57:55 +02:00
MichelJuillard 6d23db41d0 Merge pull request #1082 from JohannesPfeifer/steady_state_file_check 
Check whether steady state file returns column vector
 2015-10-12 16:33:29 +02:00
Johannes Pfeifer 8ef96c46ca Check whether steady state file returns column vector 2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis) 203455d2a1 Updates particles submodule (mainly bug fixes). 2015-10-12 15:51:16 +02:00
Stéphane Adjemian (Charybdis) a4dc9a2423 Adddd missing closing parenthesis. 2015-10-12 15:43:08 +02:00
Johannes Pfeifer 7ebbc41d8a Get rid of eval statements by using indirect indexing of structures 2015-10-12 15:36:42 +02:00
Johannes Pfeifer b7cbb563d6 Allow suppressing density of smoother and forecast objects 2015-10-12 15:34:52 +02:00
Johannes Pfeifer 1ef1f9c75d Transform hard-coded kernel density options to real options 2015-10-12 15:34:51 +02:00
MichelJuillard aa894f8613 Merge pull request #1075 from JohannesPfeifer/stochastic_singularity 
Condition check for stochastic singularity on maximum of non-missing …
 2015-10-12 09:12:31 +02:00
MichelJuillard c2565e803f Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail 
Filter out failure of k_order_pert in likelihood computation
 2015-10-11 20:45:51 +02:00
MichelJuillard 7df7fe6fd8 Merge pull request #1080 from JohannesPfeifer/CMAES_settings 
Improve cmaes settings
 2015-10-11 20:44:10 +02:00
Johannes Pfeifer fd9f2db79d Allow resuming previous run of CMAES 
Also enables saving of intermediate results, consistent with the manual.
 2015-10-11 19:13:48 +02:00
Johannes Pfeifer e3e34e1c7d Reduce default accuracy criterion in cmaes.m 2015-10-11 18:50:05 +02:00
Johannes Pfeifer df47be4076 Properly set bounds and H0 for CMAES 2015-10-11 18:21:25 +02:00
Johannes Pfeifer d513d38f73 Filter out failure of k_order_pert in likelihood computation 2015-10-11 17:55:27 +02:00
Johannes Pfeifer 33aa22a80f Condition check for stochastic singularity on maximum of non-missing observations 
closes #1071
 2015-10-11 10:49:15 +02:00
MichelJuillard 866ab33575 Merge pull request #1042 from JohannesPfeifer/discretionary 
Various fixes for discretionary_policy
 2015-10-10 22:25:46 +02:00
MichelJuillard b51b037ef2 Merge pull request #871 from JohannesPfeifer/prior_posterior_function 
Add functionality Prior posterior function
 2015-10-10 22:17:53 +02:00
Michel Juillard a8580258a1 changed Dynare timer to local timer 2015-10-10 14:33:30 +02:00
Michel Juillard 6502c311a0 replaced global timer by local timer 2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis) dcf7cfbc4b Cosmetic change (testsuite). 
Do not print warnings with Matlab>=R2015b because of the exit command at the end of the run_test_matlab script.

Do not print
 2015-10-10 02:26:40 +02:00
Stéphane Adjemian (Charybdis) 580bc3a0b6 Updated .gitignore file. 
Do not version mat files in matlab folder.
 2015-10-10 00:21:18 +02:00