Stéphane Adjemian (Charybdis)
b8180f3328
Allow k order approximation in SIP filter.
2019-12-20 11:21:13 +01:00
bc1c173988
Updated online filter routines.
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- Rewrote doc headers
- Changed function signatures
- Removed persistent variables
- Compute the mode of the particle weights
- Return the covariance matrix of the particles in the last period
- Various cosmetic changes
2019-07-11 12:45:26 +02:00
2aed30d686
New SMC sampler (Herbst and Schorfheide).
2019-02-11 10:59:51 +01:00
f9e85d3c80
Update URLs for the move to GitLab
2018-09-10 12:18:49 +02:00
713e3ffcfb
include modifications for parallelisation.
2018-06-28 09:22:34 +02:00
a299c04d7e
include parallelisation, correction of the likelihood calculation for the Amisano and Tristani option and the possibility of monte carlo draws for the proposal.
2018-06-28 09:21:50 +02:00
6e89a1ff9e
Replace the likelihood of the mean by the mean of the likelihoods.
2018-06-28 09:20:19 +02:00
4de28e10c0
Initial particles are drawn in the prior distribution + bug fixes.
2018-06-13 18:43:04 +02:00
801d175890
Add flags to deal with errors on Cholesky matrices in CPF filter.
2018-06-11 09:46:17 +02:00
b66d78d434
Correct the calculation of the incremental weights.
2018-06-09 14:59:20 +02:00
cecc11c73f
Add the option of Monte Carlo nonlinear Kalman filter.
2018-06-08 20:58:48 +02:00
b7597b5060
Add the possibility of proposal approximated with Monte Carlo.
2018-06-08 20:57:38 +02:00
be31310838
Correct the calculation of the incremental weights.
2018-06-08 20:56:24 +02:00
d3d6a037b1
Added routines for Dynamic Striated Metropolis Hastings.
2018-06-01 11:16:29 +02:00
1eee8eb3f2
Fixed copyright notices.
2017-05-18 23:59:49 +02:00
a812a00b17
Fixed indentation.
2017-05-18 23:59:10 +02:00
215245758d
update call to dyn_saveas
2017-03-23 17:57:17 +01:00
ce79dbe420
update call to dyn_figure
2017-03-22 17:08:02 +01:00
0c28a29392
Merge pull request #8 from JohannesPfeifer/patch-3
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Properly terminate nonlinear_kalman_filter if non-positive definite m…
2017-03-15 16:27:38 +01:00
bd8e804435
Properly terminate nonlinear_kalman_filter if non-positive definite matrices are encountered
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Otherwise, crashes can happen during mode-finding
2017-01-23 12:20:24 +01:00
814cb693f6
Fix a bug in the predictive density calculation.
2016-06-30 12:12:58 +02:00
bdd519a5f5
Modifications to facilitate Cholesky of states variances.
2016-06-30 11:42:45 +02:00
4644a31291
fix latex file ending for linux compilation
2016-06-14 11:48:35 +02:00
e6d081d58a
Fixed bug on a structure name.
2016-06-01 18:24:27 +02:00
8221d5c780
Modification of a structure name when calling incremental_weights.
2016-06-01 18:19:26 +02:00
0141b34310
Fixed bug on structure name.
2016-06-01 17:11:28 +02:00
005b0907c0
Changed logic for setting weights method in CPF.
2016-06-01 16:07:07 +02:00
8f4fe9b341
Renamed matlab routine.
2016-06-01 14:12:02 +02:00
75b17ce780
Add the possibility of Gaussian-Mixture Particle Filter without resampling.
2015-12-04 16:00:04 +01:00
394df6f537
Make the distinction between original Amisano and Tristani's way to calculate particles weights and the likelihood (CPF1) and Murray's way (CPF2).
2015-12-04 15:29:25 +01:00
9a366d6576
Re-activate the option of resampling in Gaussian Particle Filter.
2015-12-04 14:48:26 +01:00
df842aa542
Correct the auxiliary filter part.
2015-12-04 12:42:42 +01:00
3c18bf1f6b
Fix a bug in the gaussian density calculation.
2015-12-04 11:44:45 +01:00
e6d627396a
Fix the calculation of the likelihood on the APF.
2015-10-20 15:12:56 +02:00
7816397856
Add the possibility to use an sparse-grid Kalman filter with approximation at order 2.
2015-10-09 14:42:53 +02:00
46f367b299
Minor modifications in the inputs of the function.
2015-10-07 15:25:16 +02:00
8b79fb562b
Correction on a bug and extension of the original paper for the calculation of incremental weights.
2015-10-07 15:23:42 +02:00
bf956f9bb0
Modify the inputs of gaussian_density.
2015-10-06 17:21:02 +02:00
ce9dace8ef
fix a bug on format matrix.
2015-10-06 17:18:09 +02:00
57f4f5b157
Fix a bug in likelihood calculation.
2015-10-02 16:05:26 +02:00
a64073ec3c
Modify the weights to prevent crash in the cholesky of the covariance.
2015-10-02 16:02:49 +02:00
c4b465a2c4
Merge pull request #6 from JohannesPfeifer/patch-1
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Reflect new input argument of lyapunov_symm.m of Dynare
2015-08-12 11:45:04 +02:00
d5ef4962bd
Reflect new input argument of lyapunov_symm.m of Dynare
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Related to https://github.com/DynareTeam/dynare/pull/983
2015-07-24 12:57:17 +02:00
042303da68
Cosmetic change (display of online approach progress).
2015-05-28 15:25:18 +02:00
47bfcece40
update the function to the recent modifications in dynare_estimation.
2015-05-27 15:26:59 +02:00
6ab142a75b
simplification of gaussian mixtures
2015-05-27 11:48:06 +02:00
34cf8ca284
adapt the code to dynare evolutions
2015-04-15 10:40:27 +02:00
19858696bf
fix a bug in the indices of the proposal calculations.
2015-01-28 15:23:09 +01:00
49d25782bb
factorize some codes across options and modify the definition of mixtures.
2015-01-23 14:40:55 +01:00
2b0a83ca91
factorize some codes across options.
2015-01-23 10:05:16 +01:00
Stéphane Adjemian (Charybdis)
Stéphane Adjemian (Charybdis)
Frédéric Karamé
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Houtan Bastani
Johannes Pfeifer