Michel Juillard
61e78763da
correcting bug in kalman filter when it reaches the steady state (multivariate diffuse Kalman filter, both versions, regular Kalman filter with missing observations)
2010-06-09 18:00:17 +02:00
Stéphane Adjemian (Scylla)
a512b9b263
Bug fix. We don't have to check the convergence of the Kalman filter to its steady state if the
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covariance matrix F is singular.
2010-06-09 11:04:59 +02:00
Michel Juillard
4bde063669
Kalman filters: fixing initialization of oldK to Inf instead of 0
2010-04-16 12:20:57 +02:00
Michel Juillard
e54a505159
bug correction
2010-04-02 21:38:05 +02:00
Michel Juillard
7668bc4a11
-new smoother function kalman/smoother/kalman_smoother.m
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-fixing bugs in dynare_estimation_1.m
2010-03-23 18:17:15 +01:00
Marco Ratto
24d41f66c8
fixed bug with tolerance for steady state kalman filter
2010-03-05 11:26:29 +01:00
Stéphane Adjemian (Charybdis)
3f1fad9cd2
Added trap for cases where diffuse filters fail (replaced error messages by warning messages).
2010-02-05 23:18:08 +01:00
sebastien
1be52aaa5f
Beautification: removed tabulation characters which were left in previous beautification pass
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-05 10:46:10 +00:00
sebastien
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
ratto
bb271bb8ac
Eliminated double counting in constant: now result is identical to univariate algorithm.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2858 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-08-14 09:29:09 +00:00
stepan
3692d5f99b
+ Added missing semicolon.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2813 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-06 12:34:57 +00:00
michel
3260ba476e
4.1 correcting bug for large values of start and fixed constants in lik. Still need to be tested
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2715 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-28 18:14:07 +00:00
michel
27387d5e10
4.1: changing handling of constants in Kalman filter
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2700 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-27 10:43:34 +00:00
sebastien
2495aca72a
trunk:
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* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-21 14:39:24 +00:00
michel
3a55016cf6
more speeding up changes
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2353 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-05 11:37:05 +00:00
michel
163b4461ec
adding parentheses for speed improvement
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code factorization
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2352 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-04 07:53:49 +00:00
michel
bf65cb4f10
various bug fixes for filter and smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2282 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-03 07:30:26 +00:00
michel
eba6164cae
fixing bugs around missing observations and starting to add smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-11-25 17:31:37 +00:00
adjemian
6929164339
v4.1: Added univariate approach for the diffuse kalman filter (with correlated measurement errors).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2230 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-29 15:38:34 +00:00
adjemian
6eadbe0005
v4.1: Added univariate approach of the diffuse kalman filter (missing observations and uncorrelated
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measurement errors are allowed).
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2225 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-29 14:18:18 +00:00
adjemian
5618fea33b
v4.1: Added two routines for diffuse kalman filtering (with or without missing observations).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2216 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:12:44 +00:00
adjemian
42bdc2726c
v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and
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correlated measurement errors. Tests show that there is a "significant" discrepancy between the
univariate filter and the standard filter in presence of correlated measurement errors...
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 15:29:33 +00:00
adjemian
616f47377f
v4.1: Bug corrections.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2180 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 12:58:08 +00:00
adjemian
c5e73fcbaf
v4.1: Added subfolders in ./matlab/kalman.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2162 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 21:15:07 +00:00
adjemian
8c030e7eb0
v4.1: Changed header.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2161 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 18:04:43 +00:00
adjemian
d0e8345536
v4.1: Changes related to kalman filter with missing observations.
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* Changed header of missing_observations_kalman_filter
* Added the univariate approach. This file handles the cases with measurement errors and/or missing data.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2160 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 18:03:33 +00:00
adjemian
09e32240bd
v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 13:40:40 +00:00
adjemian
f58cdcf676
v4.1: Files related to kalman filter (likelihood evaluation of a state space model with or without missing observations).
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* Added a new tolerance parameter specific to the iteration on the riccati equation.
* Added a kalman filter routine allowing for missing observations.
* I do not distinguish anymore models with and without measurement errors (the same m file is used for both models to evaluate the likelihood). For a model without measurement errors H hat to be set to 0 scalar.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2148 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-13 18:54:42 +00:00