1bf81c9f5a
Fixed copyright notices.
2017-05-18 18:36:38 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
f60945facc
fix copyright dates
2016-03-11 16:22:42 +01:00
42ecfa382f
fxing bug in diffuse smoother with missing values
2016-03-06 21:07:50 +01:00
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
ae72105b5c
Speeds up the Kalman smoother
2014-01-14 17:32:45 +01:00
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
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
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
9ae3115b9d
Fixing function name in header
2011-02-04 12:44:43 +01:00
e2a1d77f6e
- added schur_statespace_transformation.m to factor it out of DsgeLikelihood.m and DsgeSmoother.m
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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
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Houtan Bastani
Michel Juillard
Marco Ratto
ferhat
Houtan Bastani
Sébastien Villemot
Michel Juillard