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77 Commits (967eb63bbb468cec092cab25d2c3f27dd3de88e9)

Author SHA1 Message Date
Stéphane Adjemian (Charybdis) 40329e3e29 Added routine to compute one step ahead state space iteration (mex and m). The state space 
equations are approximated at order two around the deterministic steady state.
 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) 8f95711445 Fixed texinfo header. Added two internal tests. 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) f9671be3d2 Deleted trailing white space. 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) 939318a380 Added a comment about the timming tests done in the third section of the internal tests. 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) 0a9daa519a Updated copyright year. 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) 78fe29eeef Cosmetic changes in texinfo headers. Deleted trailing white spaces. Changed the value of show_time in the third internal test. 2012-03-04 22:07:27 +01:00
Stéphane Adjemian (Charybdis) 2a88e49f9f Cosmetic changes in texinfo header. Deleted trailing spaces. 2012-03-04 22:07:26 +01:00
Stéphane Adjemian (Charybdis) 83bfaa814e Added sequential importance particle filter routine. 2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis) 195ad9f71d Added Routines for resampling (particle filter). 2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis) c250f8f495 Fixed bug in the second unitary test of local_state_equation_2. 2011-12-27 15:01:07 +01:00
Stéphane Adjemian (Charybdis) 16d2fd5673 Fixed bugs. Changed internal documentation. 2011-12-02 12:14:38 +01:00
Stéphane Adjemian (Charybdis) 12a3af8167 Renamed routine. Fixed unitary tests. 2011-12-02 12:14:38 +01:00
Stéphane Adjemian (Scylla) a4b299879d Removed useless debugging info. 2011-09-12 11:46:14 +02:00
Sébastien Villemot bf40c11a35 Removed spurious file 2011-09-08 16:07:59 +02:00
Stéphane Adjemian (Scylla) ada3eec81b Added matlab routine to iterate on the state equation approximated at order 2 (needed for nonlinear filters). 2011-09-05 18:57:42 +02:00
stepan@charybdis bfde3d2beb Removed non linear kalman filter files. 2010-02-03 12:37:46 +01:00
sebastien e7adf28fbd A few more copyright fixes 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3316 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 09:54:43 +00:00
fred d8f13d4dae SIS = standard particular filter 
_2 = variation around mat var-cov calculations

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3312 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 08:21:57 +00:00
stepan 90f5ab741b * Added number of particles (10;-) when calling monte_carlo_gaussian_particle_filter from particle/DsgeLiklihood. 
* Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3233 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-11 22:25:56 +00:00
fred b8db5a23a1 latest version ; still buggy 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3232 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-11 17:12:49 +00:00
fred ae72c409d6 first try for particular filter 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3222 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-11 11:49:02 +00:00
sebastien d17b813c6b Removed wrong executable property 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3142 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-09 11:01:59 +00:00
stepan facc7311a8 Bug fix. Changed the call to the particle filter routine. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3139 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-08 13:47:12 +00:00
stepan 2063c0944f * Removed simult_ and added local_state_space_iteration_2 (a specialized version of simult_). 
* Renamed gaussian_particle_filter.m. Changed the names of the variables in this file. The 
gaussian nodes are not stored anymore in a big matrix.
* Added a function to compute the cholesky decomposition of a symetric semidefinite positive
matrix.  



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3138 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-08 13:46:05 +00:00
stepan b6d5369421 * Added files for extended path simulations. 
* Removed seed from gaussian_particle_filter.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3118 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-11-03 12:27:22 +00:00
stepan 37144125fc Added simult_ and DsgeLikelihood routines specific to the particle filter. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3110 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-31 07:55:16 +00:00
stepan 11bb96f19b * Added subfolder for particle filters. 
* Added a routine for gaussian particle filter. The likelihood is evaluated
by assuming that the state vector is normally distributed.

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3109 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-10-31 07:55:13 +00:00