93ae4849b7
missing_observations_kalman_filter.m: remove unused output whose dimensions grow over time
2022-05-25 12:55:05 +02:00
10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
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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
1bfb9ffbb9
heteroskedastic shocks: take into account first_obs
2021-12-14 11:21:16 +01:00
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +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
73291b0b19
before issuing F singularity, check with rescaled F matrix: this spares lots of computing time when singularity only happens in the first KF step.
2020-01-24 14:17:26 +01:00
7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
b933a440bf
Add debugging info to Kalman filter routines
2018-01-26 11:47:39 +01:00
b9741548b0
As we do for the smoother, check the rank of Pinf only for the observables (i.e. using Z*Pinf*Z')
2018-01-26 11:47:39 +01:00
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
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.
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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
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
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
73d0a82267
Add comment on logic of singularity testing in univariate_kalman_filter_d.m
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
8dc96cafa4
If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
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See discussion on mailing list 18/06/2016
2016-08-22 19:24:35 +02:00
36ccec75ce
Add missing constant 2*pi to missing_observations_kalman_filter_d.m
2016-08-22 19:24:35 +02:00
f95619b46a
Add header info to univariate_kalman_filter.m
2016-08-22 19:24:35 +02:00
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
8908d46567
Initialize s to make sure univariate_kalman_filter_d.m does not crash if newRank is 0 initially
2016-04-14 20:11:49 +02:00
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
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
ca8f0ea006
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
2015-04-08 15:49:12 +02:00
5297836577
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
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Since initial Pinf is well scaled to unity, crit1= 1.e-6 is used for smoother and should also apply to likelihood evaluations.
2015-04-03 18:02:03 +02:00
89fa0ae9b6
Fixed typo.
2014-09-11 17:33:42 +02:00
a6bddb2d57
Improve computation of outer product gradient for univariate Kalman algorithms, by exploiting the larger number of individual densities computed during recursions (used in optimizer number 5).
2014-07-23 16:33:39 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
1df8bf15c2
Bugfix in rplot + typo correction
2013-03-18 10:59:32 +01:00
bbd95b3a60
adding Ed Herbst fast implementation of the Kalman filter and test
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cases with timing. Still needs preprocessor interface (option) and documentation.
2013-02-21 17:47:16 +01:00
e637319be5
bug fix. the diffuse filter should simply penalize the likelihood with the NaN without breaking the estimation (this is in line with missing_observations_kalman_filter_d.m).
2012-09-14 17:05:35 +02:00
6b91301365
Reduce memory requirements for analytic Hessian.
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Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
2012-08-21 16:00:55 +02:00
7683175e8e
Bug fix in terms for outer product gradient with analytic derivatives
2012-08-21 15:45:25 +02:00
f7aae77f16
removed useless elements + reduce loops for efficiency
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(cherry picked from commit f2271264994af253ccdc7f01478320e4d2c2c0e7)
2012-08-13 13:04:34 +02:00
307d5d5d6a
Initializes the s variable
2012-07-01 15:19:36 +02:00
2fa433f18e
fixing bug for estimation of models with measurement errors and
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missing observations
2012-06-19 16:35:44 +02:00
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
bf88b6e93d
LIKK needs to be initialized when analytic derivation =0.
2012-06-08 17:06:59 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
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2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
c15123878f
fixed rare bug in Kalman filter when one should switch to steady state
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filter in last period of the sample
2012-05-10 11:09:06 +02:00
Johannes Pfeifer
Sébastien Villemot
Marco Ratto
Stéphane Adjemian (Charybdis)
Marco Ratto
Houtan Bastani
Michel Juillard
Ferhat Mihoubi
Sébastien Villemot