709ef9230f
get_the_name.m: do not pass full options structure as input
2023-12-07 12:11:38 +01:00
b3ce518433
Further naming consistency improvements
2023-10-25 11:22:50 +02:00
e65662151f
Eliminate set_dynare_seed.m calls with globals
2023-09-28 17:00:21 +02:00
8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
4fa5df0c24
simult.m: remove oo_ as input and output
2023-09-25 12:08:47 +02:00
649f668dd1
cosmetical: don't use hh for figure/plot/table handles
...
We use it to denote the hessian and even store it in many mat files.
2023-09-19 13:26:33 +02:00
2fa6c437f7
solve_model_for_online_filter.m: remove redundant call to Lyapunov solver
2023-09-08 08:05:48 +02:00
420cbc8202
kalman_transition_matrix.m: remove redundant input argument
2023-09-08 08:03:18 +02:00
Stéphane Adjemian (Ryûk)
21dcc911bc
Move files and delete unused folders and files.
2023-07-12 09:29:41 +02:00
d2c324eeee
Amends the various filters to fit the fixed version of local_state_space_iteration_3
...
See MR !2144 for more details
2023-07-01 16:43:48 +02:00
Stéphane Adjemian (Ryûk)
084e64cdac
Use new prior draw interface.
2023-04-26 10:06:30 +02:00
7721ea041c
Amends particle filters to use the local_state_space_iteration_3 mex
2022-09-19 15:43:10 +02:00
7fac60f5f6
Fix auxiliary_particle_filter.m: strange iteration range `for i=1:size(nodes)`
...
All hunks depending on this loop amended
2022-09-19 15:16:29 +02:00
ea01f8f22a
Fix online_particle_filter.m: wrong condition for pruning in terms of order selection
2022-09-19 06:53:13 +01:00
8a0dba1f88
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
...
It is now supported by the MATLAB editor (as of R2022a).
2022-04-13 14:47:52 +02:00
773cbd2f38
Routines moved out of the submodule.
2022-03-09 17:21:02 +01:00
84562f3568
Update calling sequence of local_state_space_iteration_k for new Fortran version
2022-02-04 11:49:38 +01:00
43dc073192
online_auxiliary_filter.m: fix infinite loop
2022-01-12 10:54:16 +01:00
c03862e71b
Alternative samplers: header fixes and indentation
2021-07-21 12:33:54 +02:00
e544f1d860
Remove redundant options output
2021-06-22 14:31:29 +02:00
Stéphane Adjemian (Ryuk)
3da7ded1da
Remove unused variables.
2021-06-15 21:44:08 +02:00
Stéphane Adjemian (Ryuk)
35ff1c0261
Cosmetic change (removed useless square brackets).
2021-06-15 21:43:14 +02:00
Stéphane Adjemian (Ryuk)
fb8301d87e
Fix call to fprint.
2021-06-15 21:43:00 +02:00
Stéphane Adjemian (Ryuk)
a4ef4676d1
Fix online filter output.
...
The plot showing the evolution, along the sample, of thye particles
was crashing because of a missing function.
2021-06-15 21:40:03 +02:00
8a4b75bc5c
Use secure URL for link to GNU licenses
2021-06-09 17:21:49 +02:00
e953ba562c
solve_model_for_online_filter.m: correct dimension of H matrix
2021-01-26 09:15:43 +01:00
e49cdefac3
Port state variance initialization fix from dab5d38068
2021-01-26 09:14:34 +01:00
0c6151df7a
solve_model_for_online_filter.m: fix reduced form dimensions for oder=2 matrices at order=1
2021-01-26 09:12:00 +01:00
5714ebf298
auxiliary_particle_filter.m: set undefined variable
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1718
2020-11-13 11:35:44 +01:00
389bdc23f2
Fix eps-TeX-loaders
2020-06-18 13:14:00 +02:00
6f3a0298e3
Consistently use LaTeX labels in figures instead of relying on psfrag
2020-06-17 20:32:40 +02:00
Stéphane Adjemian (Charybdis)
5a9ddc405e
Allow k order approximation in online filter (mode_compute=11).
...
Ref. dynare#1673
2020-02-15 16:50:32 +01:00
Stéphane Adjemian (Charybdis)
e6f75e4b18
Allow k order approximation in conditional particle filter (cpf).
...
Ref. dynare#1673
2020-01-27 10:41:07 +01:00
Stéphane Adjemian (Charybdis)
7d8c922b78
Allow k order approximation in Gaussian Mixture Filter (gmf).
...
Ref. dynare#1673
2019-12-23 17:57:50 +01:00
Stéphane Adjemian (Charybdis)
ae23c01d1c
Allow k order approximation in Gaussian Filter (gf).
...
Ref. dynare#1673
2019-12-21 12:06:41 +01:00
Stéphane Adjemian (Charybdis)
8cd20070d2
Allow k order approximation in nonlinear Kalman Filter (nlkf).
...
Ref. dynare#1673
2019-12-21 10:44:23 +01:00
Stéphane Adjemian (Charybdis)
6e27946a04
Allow k order approximation in Auxiliary Particle Filter.
...
Ref. dynare#1673
2019-12-21 10:39:36 +01:00
Stéphane Adjemian (Charybdis)
b8180f3328
Allow k order approximation in SIP filter.
2019-12-20 11:21:13 +01:00
bc1c173988
Updated online filter routines.
...
- Rewrote doc headers
- Changed function signatures
- Removed persistent variables
- Compute the mode of the particle weights
- Return the covariance matrix of the particles in the last period
- Various cosmetic changes
2019-07-11 12:45:26 +02:00
2aed30d686
New SMC sampler (Herbst and Schorfheide).
2019-02-11 10:59:51 +01:00
f9e85d3c80
Update URLs for the move to GitLab
2018-09-10 12:18:49 +02:00
713e3ffcfb
include modifications for parallelisation.
2018-06-28 09:22:34 +02:00
a299c04d7e
include parallelisation, correction of the likelihood calculation for the Amisano and Tristani option and the possibility of monte carlo draws for the proposal.
2018-06-28 09:21:50 +02:00
6e89a1ff9e
Replace the likelihood of the mean by the mean of the likelihoods.
2018-06-28 09:20:19 +02:00
4de28e10c0
Initial particles are drawn in the prior distribution + bug fixes.
2018-06-13 18:43:04 +02:00
801d175890
Add flags to deal with errors on Cholesky matrices in CPF filter.
2018-06-11 09:46:17 +02:00
b66d78d434
Correct the calculation of the incremental weights.
2018-06-09 14:59:20 +02:00
cecc11c73f
Add the option of Monte Carlo nonlinear Kalman filter.
2018-06-08 20:58:48 +02:00
b7597b5060
Add the possibility of proposal approximated with Monte Carlo.
2018-06-08 20:57:38 +02:00
be31310838
Correct the calculation of the incremental weights.
2018-06-08 20:56:24 +02:00
Johannes Pfeifer
Willi Mutschler
Stéphane Adjemian (Ryûk)
Normann Rion
Sébastien Villemot
Frédéric Karamé
Stéphane Adjemian (Charybdis)