Johannes Pfeifer
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
Houtan Bastani
f60945facc
fix copyright dates
2016-03-11 16:22:42 +01:00
Michel Juillard
42ecfa382f
fxing bug in diffuse smoother with missing values
2016-03-06 21:07:50 +01:00
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
Stéphane Adjemian (Charybdis)
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
ferhat
ae72105b5c
Speeds up the Kalman smoother
2014-01-14 17:32:45 +01:00
Michel Juillard
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
Michel Juillard
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
Michel Juillard
5f8b5fa467
removing useless 'd' output argument from the Kalman smoother functions. Removed global initialization of options_.diffuse_d. Fixed minor bugs in Kalman smoother functions.
2011-03-24 18:38:01 +01:00
Houtan Bastani
43479f6ef3
use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time)
2011-02-10 15:54:23 +01:00
Sébastien Villemot
9ae3115b9d
Fixing function name in header
2011-02-04 12:44:43 +01:00
Michel Juillard
e2a1d77f6e
- added schur_statespace_transformation.m to factor it out of DsgeLikelihood.m and DsgeSmoother.m
...
and corrected a bug in the code
- added missing functions missing_DiffuseKalmanSmootherH1_Z.m (multivariate version) and
missing_DiffuseKalmanSmootherH3_Z.m (univariate version)
- use only these two versions of the Kalman smoother in DsgeSmoother.m
2011-01-13 21:50:26 +01:00