Frédéric Karamé
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d3d6a037b1
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Added routines for Dynamic Striated Metropolis Hastings.
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2018-06-01 11:16:29 +02:00 |
Stéphane Adjemian (Charybdis)
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1eee8eb3f2
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Fixed copyright notices.
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2017-05-18 23:59:49 +02:00 |
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Stéphane Adjemian (Charybdis)
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a812a00b17
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Fixed indentation.
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2017-05-18 23:59:10 +02:00 |
Houtan Bastani
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215245758d
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update call to dyn_saveas
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2017-03-23 17:57:17 +01:00 |
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Houtan Bastani
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ce79dbe420
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update call to dyn_figure
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2017-03-22 17:08:02 +01:00 |
Johannes Pfeifer
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bd8e804435
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Properly terminate nonlinear_kalman_filter if non-positive definite matrices are encountered
Otherwise, crashes can happen during mode-finding
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2017-01-23 12:20:24 +01:00 |
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Frédéric Karamé
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814cb693f6
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Fix a bug in the predictive density calculation.
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2016-06-30 12:12:58 +02:00 |
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Frédéric Karamé
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bdd519a5f5
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Modifications to facilitate Cholesky of states variances.
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2016-06-30 11:42:45 +02:00 |
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Houtan Bastani
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4644a31291
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fix latex file ending for linux compilation
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2016-06-14 11:48:35 +02:00 |
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Frédéric Karamé
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e6d081d58a
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Fixed bug on a structure name.
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2016-06-01 18:24:27 +02:00 |
|
Frédéric Karamé
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8221d5c780
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Modification of a structure name when calling incremental_weights.
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2016-06-01 18:19:26 +02:00 |
|
Frédéric Karamé
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0141b34310
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Fixed bug on structure name.
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2016-06-01 17:11:28 +02:00 |
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Stéphane Adjemian (Charybdis)
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005b0907c0
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Changed logic for setting weights method in CPF.
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2016-06-01 16:07:07 +02:00 |
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Stéphane Adjemian (Charybdis)
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8f4fe9b341
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Renamed matlab routine.
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2016-06-01 14:12:02 +02:00 |
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Frédéric Karamé
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75b17ce780
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Add the possibility of Gaussian-Mixture Particle Filter without resampling.
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2015-12-04 16:00:04 +01:00 |
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Frédéric Karamé
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394df6f537
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Make the distinction between original Amisano and Tristani's way to calculate particles weights and the likelihood (CPF1) and Murray's way (CPF2).
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2015-12-04 15:29:25 +01:00 |
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Frédéric Karamé
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9a366d6576
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Re-activate the option of resampling in Gaussian Particle Filter.
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2015-12-04 14:48:26 +01:00 |
|
Frédéric Karamé
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df842aa542
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Correct the auxiliary filter part.
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2015-12-04 12:42:42 +01:00 |
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Frédéric Karamé
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3c18bf1f6b
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Fix a bug in the gaussian density calculation.
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2015-12-04 11:44:45 +01:00 |
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Frédéric Karamé
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e6d627396a
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Fix the calculation of the likelihood on the APF.
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2015-10-20 15:12:56 +02:00 |
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Frédéric Karamé
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7816397856
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Add the possibility to use an sparse-grid Kalman filter with approximation at order 2.
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2015-10-09 14:42:53 +02:00 |
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Frédéric Karamé
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46f367b299
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Minor modifications in the inputs of the function.
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2015-10-07 15:25:16 +02:00 |
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Frédéric Karamé
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8b79fb562b
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Correction on a bug and extension of the original paper for the calculation of incremental weights.
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2015-10-07 15:23:42 +02:00 |
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Frédéric Karamé
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bf956f9bb0
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Modify the inputs of gaussian_density.
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2015-10-06 17:21:02 +02:00 |
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Frédéric Karamé
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ce9dace8ef
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fix a bug on format matrix.
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2015-10-06 17:18:09 +02:00 |
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Frédéric Karamé
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57f4f5b157
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Fix a bug in likelihood calculation.
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2015-10-02 16:05:26 +02:00 |
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Frédéric Karamé
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a64073ec3c
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Modify the weights to prevent crash in the cholesky of the covariance.
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2015-10-02 16:02:49 +02:00 |
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Johannes Pfeifer
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d5ef4962bd
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Reflect new input argument of lyapunov_symm.m of Dynare
Related to https://github.com/DynareTeam/dynare/pull/983
|
2015-07-24 12:57:17 +02:00 |
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Stéphane Adjemian (Hermes)
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042303da68
|
Cosmetic change (display of online approach progress).
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2015-05-28 15:25:18 +02:00 |
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Frédéric Karamé
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47bfcece40
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update the function to the recent modifications in dynare_estimation.
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2015-05-27 15:26:59 +02:00 |
|
Frédéric Karamé
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6ab142a75b
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simplification of gaussian mixtures
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2015-05-27 11:48:06 +02:00 |
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Frédéric Karamé
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34cf8ca284
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adapt the code to dynare evolutions
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2015-04-15 10:40:27 +02:00 |
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Frédéric Karamé
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19858696bf
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fix a bug in the indices of the proposal calculations.
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2015-01-28 15:23:09 +01:00 |
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Frédéric Karamé
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49d25782bb
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factorize some codes across options and modify the definition of mixtures.
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2015-01-23 14:40:55 +01:00 |
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Frédéric Karamé
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2b0a83ca91
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factorize some codes across options.
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2015-01-23 10:05:16 +01:00 |
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Frédéric Karamé
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3300a448f2
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Delete resampling possibility in gaussian particle filter
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2015-01-14 16:13:21 +01:00 |
|
Frédéric Karamé
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bcb09ee14d
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Fix bug on gaussian filter for the option distribution_approximation=montecarlo
|
2015-01-14 14:56:10 +01:00 |
|
Frédéric Karamé
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f3a4bd8a63
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Remove de index_resample.m file used in the auxiliary particle filter and replaced by reample.m
|
2015-01-07 14:25:56 +01:00 |
|
Frédéric Karamé
|
81c02a58d8
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Reintroduction of pruning and of options to build the sufficient statistics in the auxiliary particle filter
|
2015-01-07 14:22:12 +01:00 |
|
Frédéric Karamé
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29db2fe060
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modification of the sufficient statistics in the auxiliary particle filter
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2015-01-07 13:49:33 +01:00 |
|
Frédéric Karamé
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d5735c9585
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correction of weights calculation in the auxiliary particle filter
|
2015-01-07 11:26:30 +01:00 |
|
Frédéric Karamé
|
d476a195e0
|
modification of the auxiliary particle filter and of the resample routine that can return either the resampled particles or the resampling index depending on the input (particles = 0 or not)
|
2014-12-18 14:46:55 +01:00 |
|
Stéphane Adjemian
|
86ebce712f
|
Update README.md
Fixed typo
|
2014-12-18 11:31:29 +01:00 |
|
Stéphane Adjemian (Charybdis)
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3c345e1d45
|
Replaced DynareOptions by ParticleOptions and ThreadsOptions.
|
2014-12-15 15:27:28 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
5c3a4841b8
|
Replaced DynareOptions by ParticleOptions and ThreadsOptions.
|
2014-12-15 14:30:19 +01:00 |
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Stéphane Adjemian (Charybdis)
|
cca16be513
|
Fixed header.
|
2014-12-12 22:38:59 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
bebcba0a7d
|
Replaced DynareOptions by ParticleOptions and ThreadsOptions.
|
2014-12-12 22:37:49 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
c0cfc640c4
|
Replaced DynareOptions by ParticleOptions and ThreadsOptions.
|
2014-12-12 19:14:35 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
e803fdbc88
|
Fixed headers.
|
2014-12-12 18:09:04 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
5610856478
|
Replaced DynareOptions by ParticleOptions and ThreadsOptions.
ParticleOptions is DynareOptions.particles
ThreadsOptions is DynareOptions.threads
|
2014-12-12 17:49:17 +01:00 |
|
Stéphane Adjemian (Charybdis)
|
dd0cc89ef3
|
Rewrote doc header.
|
2014-12-12 17:49:17 +01:00 |
|
Frédéric Karamé
|
d533b826c1
|
Adds a modification to work with order 1 too.
|
2014-11-14 18:16:11 +01:00 |
|
Frédéric Karamé
|
d4e4ea4ad8
|
Fixed definition of neff (resampling threshold).
|
2014-11-14 17:12:45 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
459d02febf
|
Removed local_state_space_iteration_2 routine.
|
2014-11-13 15:54:41 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
deef89316c
|
Do not version Org files.
|
2014-11-12 18:01:31 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
4c71e9b4ab
|
Removed notes.org from Git.
|
2014-11-12 17:59:50 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
27f5f298f4
|
Imported files from DynareTeam/dynare github repository.
|
2014-11-10 19:00:16 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
0514b3949c
|
Added provisions for documentation.
|
2014-11-10 18:38:48 +01:00 |
|
Stéphane Adjemian (Telemachus)
|
9bb61c33bf
|
Initial commit.
|
2014-11-10 18:21:26 +01:00 |