Michel Juillard
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
Marco Ratto
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
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
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missing observations
2012-06-19 16:35:44 +02:00
Sébastien Villemot
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
Michel Juillard
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
Michel Juillard
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
Stéphane Adjemian (Scylla)
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
Houtan Bastani
c59133562c
more short-circuit logicals in the place of element-wise logicals
2011-02-22 15:06:38 +01:00
Sébastien Villemot
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
Michel Juillard
c1cb452e3d
correcting headers of all Kalman filter functions: returns MINUS loglikelihood
2010-12-10 22:31:30 +01:00
Stéphane Adjemian (Scylla)
bb47d78611
Fixed bug in Kalman filter routines + Cosmetic changes.
2010-06-24 18:20:07 +02:00
Michel Juillard
61e78763da
correcting bug in kalman filter when it reaches the steady state (multivariate diffuse Kalman filter, both versions, regular Kalman filter with missing observations)
2010-06-09 18:00:17 +02:00
Michel Juillard
4bde063669
Kalman filters: fixing initialization of oldK to Inf instead of 0
2010-04-16 12:20:57 +02:00
sebastien
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
stepan
3692d5f99b
+ Added missing semicolon.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2813 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-06 12:34:57 +00:00
michel
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
adjemian
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