10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
...
It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
2022-04-13 14:54:25 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
565d61aad3
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:32:42 +01:00
c6c9b4e356
kalman_filter.m: fix bug when using analytic_derivation
2021-01-22 14:54:17 +01:00
869147c13a
Kalman filter functions: clarify header comments
2021-01-18 17:33:21 +01:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
c1b6a58eb7
Manually revert 05fc096569.
...
Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437 .
2017-04-27 10:44:27 +02:00
8dc96cafa4
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
2016-08-22 19:24:35 +02:00
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
bbd95b3a60
adding Ed Herbst fast implementation of the Kalman filter and test
...
cases with timing. Still needs preprocessor interface (option) and documentation.
2013-02-21 17:47:16 +01:00
Sébastien Villemot
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
Marco Ratto
Michel Juillard