Sébastien Villemot
|
565d61aad3
|
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
|
2021-01-22 18:32:42 +01:00 |
Johannes Pfeifer
|
c6c9b4e356
|
kalman_filter.m: fix bug when using analytic_derivation
|
2021-01-22 14:54:17 +01:00 |
Johannes Pfeifer
|
869147c13a
|
Kalman filter functions: clarify header comments
|
2021-01-18 17:33:21 +01:00 |
Marco Ratto
|
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 |
Sébastien Villemot
|
7a75872f72
|
Modernization: use tilde (~) syntax for ignored output arguments
|
2018-11-13 18:02:09 +01:00 |
Stéphane Adjemian (Charybdis)
|
c4f1958690
|
Cosmetic changes + Copyright headers fixes.
|
2018-01-26 12:00:27 +01:00 |
Johannes Pfeifer
|
b933a440bf
|
Add debugging info to Kalman filter routines
|
2018-01-26 11:47:39 +01:00 |
Marco Ratto
|
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 |
Stéphane Adjemian (Charybdis)
|
1bf81c9f5a
|
Fixed copyright notices.
|
2017-05-18 18:36:38 +02:00 |
Stéphane Adjemian (Charybdis)
|
5417b27ac7
|
Fixed indentation of matlab files.
|
2017-05-16 15:10:20 +02:00 |
Stéphane Adjemian (Charybdis)
|
a53636e24e
|
Fixed copyright notices.
|
2017-05-16 14:11:15 +02:00 |
Stéphane Adjemian (Charybdis)
|
88e1701289
|
Removed useless commas and semicolons.
|
2017-05-16 13:24:46 +02:00 |
Stéphane Adjemian (Charybdis)
|
c1b6a58eb7
|
Manually revert 05fc096569 .
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 |
Johannes Pfeifer
|
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 |
Johannes Pfeifer
|
57d600301b
|
Correct description of Kstar
|
2016-11-04 09:21:53 +01:00 |
Johannes Pfeifer
|
73d0a82267
|
Add comment on logic of singularity testing in univariate_kalman_filter_d.m
See discussion on mailing list 18/06/2016
|
2016-08-22 19:24:35 +02:00 |
Johannes Pfeifer
|
8dc96cafa4
|
If F is identically 0 in Kalman filter, discard parameter draw instead of treating current observation as unobserved
See discussion on mailing list 18/06/2016
|
2016-08-22 19:24:35 +02:00 |
Johannes Pfeifer
|
36ccec75ce
|
Add missing constant 2*pi to missing_observations_kalman_filter_d.m
|
2016-08-22 19:24:35 +02:00 |
Johannes Pfeifer
|
f95619b46a
|
Add header info to univariate_kalman_filter.m
|
2016-08-22 19:24:35 +02:00 |
Johannes Pfeifer
|
15f95cec4a
|
Add comments to Kalman filtering routines
|
2016-08-22 19:24:35 +02:00 |
Houtan Bastani
|
25121bca4f
|
fix copyright dates
|
2016-05-04 16:05:31 +02:00 |
Johannes Pfeifer
|
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 |
Michel Juillard
|
953ac851c0
|
& into &&
|
2015-11-09 09:03:55 +01:00 |
Marco Ratto
|
93e7be66e7
|
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
|
2015-10-13 17:28:29 +02:00 |
Marco Ratto
|
05fc096569
|
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
|
2015-10-13 17:15:01 +02:00 |
Marco Ratto
|
ca8f0ea006
|
Harmonize filters/likelihood with smoothers by using new option diffuse_kalman_tol
|
2015-04-08 15:49:12 +02:00 |
Marco Ratto
|
5297836577
|
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
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 |
Stéphane Adjemian (Scylla)
|
89fa0ae9b6
|
Fixed typo.
|
2014-09-11 17:33:42 +02:00 |
Marco Ratto
|
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 |
Sébastien Villemot
|
61485ab809
|
Fix copyright notices
|
2013-06-12 17:04:46 +02:00 |
Johannes Pfeifer
|
1df8bf15c2
|
Bugfix in rplot + typo correction
|
2013-03-18 10:59:32 +01:00 |
Michel Juillard
|
bbd95b3a60
|
adding Ed Herbst fast implementation of the Kalman filter and test
cases with timing. Still needs preprocessor interface (option) and documentation.
|
2013-02-21 17:47:16 +01:00 |
Marco Ratto
|
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 |
Marco Ratto
|
6b91301365
|
Reduce memory requirements for analytic Hessian.
Tested with QUEST III (Ratto et al. 2009): 63 params and 59 state dimension.
|
2012-08-21 16:00:55 +02:00 |
Marco Ratto
|
7683175e8e
|
Bug fix in terms for outer product gradient with analytic derivatives
|
2012-08-21 15:45:25 +02:00 |
Marco Ratto
|
f7aae77f16
|
removed useless elements + reduce loops for efficiency
(cherry picked from commit f2271264994af253ccdc7f01478320e4d2c2c0e7)
|
2012-08-13 13:04:34 +02:00 |
Ferhat Mihoubi
|
307d5d5d6a
|
Initializes the s variable
|
2012-07-01 15:19:36 +02:00 |
Michel Juillard
|
2fa433f18e
|
fixing bug for estimation of models with measurement errors and
missing observations
|
2012-06-19 16:35:44 +02:00 |
Sébastien Villemot
|
129553579a
|
Merge remote-tracking branch 'ratto/master'
|
2012-06-08 18:24:18 +02:00 |
Sébastien Villemot
|
1f9cea669a
|
Update copyright notices
|
2012-06-08 18:22:34 +02:00 |
Marco Ratto
|
bf88b6e93d
|
LIKK needs to be initialized when analytic derivation =0.
|
2012-06-08 17:06:59 +02:00 |
Marco Ratto
|
2fecf9946b
|
1) Extended optimizer = 5 for analytic derivatives;
2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
|
2012-06-08 14:23:18 +02:00 |
Michel Juillard
|
c15123878f
|
fixed rare bug in Kalman filter when one should switch to steady state
filter in last period of the sample
|
2012-05-10 11:09:06 +02:00 |
Marco Ratto
|
da9ec0f187
|
Estimation with analytic scores and hessian;
This includes re-setting the list of output arguments in objective functions
Added test function
|
2012-04-29 21:18:33 +02:00 |
Marco Ratto
|
459744649d
|
bug fixes: output argument name "lik" and check of no more missing obs
|
2012-04-29 21:18:33 +02:00 |
Michel Juillard
|
d86daa0169
|
fixing bug in recent commit 919c2f8fb4
|
2012-01-23 16:24:47 +01:00 |
Michel Juillard
|
919c2f8fb4
|
correcting bug with presample and diffuse filter + simplified logic
for computation of likelihood with presample
|
2012-01-22 22:40:46 +01:00 |
Michel Juillard
|
f0d1f033b0
|
correcting bug in univariate diffuse filter with presample
|
2012-01-22 18:36:31 +01:00 |
Stéphane Adjemian (Charybdis)
|
ecac871435
|
Changed the name of DsgeLikelihood (-> dsge_likelihood).
|
2011-12-26 17:46:48 +01:00 |
Michel Juillard
|
976c8c1654
|
making univariate Kalman filter code simpler and more efficient
|
2011-12-15 17:35:26 +01:00 |