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
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
869147c13a
Kalman filter functions: clarify header comments
2021-01-18 17:33:21 +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
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
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
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +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
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
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
919c2f8fb4
correcting bug with presample and diffuse filter + simplified logic
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for computation of likelihood with presample
2012-01-22 22:40:46 +01:00
f2ca6d0ad9
Changed kalman filter routines to allow for arbitrary initial conditions (needed for the introduction of breaks on the estimated
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parameters and also for the estimation of the initial states).
Added specialized routines for steady state kalman filter.
Completed header of DsgeLikelihood (missing refs to the routines called by DsgeLikelihood).
2011-09-19 17:01:24 +02:00
Sébastien Villemot
Marcoo Ratto
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
Marco Ratto
Ferhat Mihoubi
Michel Juillard
Sébastien Villemot