1a978e42df
Fix bug in missing_DiffuseKalmanSmootherH3_Z.m
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Closes #1339 by properly factorizing computations
2016-11-19 10:07:16 +01:00
46b44cd481
missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
2016-11-14 11:54:39 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
f61453211c
Correct header of missing_DiffuseKalmanSmootherH3_Z.m and make sure H is vector
2016-08-22 19:24:35 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +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
6eb16f06f5
fixed bug for measurement errors returned by smoother
2011-11-04 21:15:47 +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
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
1db24b3107
bug correction for diffuse smoother
2011-01-18 19:04:20 +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
Johannes Pfeifer
Houtan Bastani
Marco Ratto
Stéphane Adjemian (Charybdis)
Michel Juillard
Michel Juillard
Houtan Bastani
Sébastien Villemot