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
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
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
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
7683175e8e
Bug fix in terms for outer product gradient with analytic derivatives
2012-08-21 15:45:25 +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
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
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
459744649d
bug fixes: output argument name "lik" and check of no more missing obs
2012-04-29 21:18:33 +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
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
976c8c1654
making univariate Kalman filter code simpler and more efficient
2011-12-15 17:35:26 +01:00
9d91625c10
fixing bug related to measurement errors
2011-11-02 11:10:58 +01:00
e60032a6f7
More typo fixes.
2011-10-25 12:34:05 +02:00
52e803f3b7
Fixed typo.
2011-10-25 12:34:05 +02:00
681a7e1df5
Added texinfo header. Fixed efficiency issue (missing parenthesis).
2011-10-25 12:34:05 +02:00
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
13ea1c0046
A better way to compute outer product gradient (for optimizer 5) with the univariate Kalman Filter.
2011-02-14 11:48:29 +01:00
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
c1cb452e3d
correcting headers of all Kalman filter functions: returns MINUS loglikelihood
2010-12-10 22:31:30 +01:00
3f1fad9cd2
Added trap for cases where diffuse filters fail (replaced error messages by warning messages).
2010-02-05 23:18:08 +01:00
1be52aaa5f
Beautification: removed tabulation characters which were left in previous beautification pass
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-05 10:46:10 +00:00
3260ba476e
4.1 correcting bug for large values of start and fixed constants in lik. Still need to be tested
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2715 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-28 18:14:07 +00:00
42bdc2726c
v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and
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correlated measurement errors. Tests show that there is a "significant" discrepancy between the
univariate filter and the standard filter in presence of correlated measurement errors...
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 15:29:33 +00:00
616f47377f
v4.1: Bug corrections.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2180 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 12:58:08 +00:00
c5e73fcbaf
v4.1: Added subfolders in ./matlab/kalman.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2162 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 21:15:07 +00:00
Sébastien Villemot
Marcoo Ratto
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Marco Ratto
Sébastien Villemot
Michel Juillard
Michel Juillard
Stéphane Adjemian (Charybdis)
sebastien
michel
adjemian