Sébastien Villemot
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
Stéphane Adjemian (Charybdis)
ac2fa68b86
Fixed bug related to the resampling of the particles.
2012-05-04 11:22:17 +02:00
Stéphane Adjemian (Charybdis)
be33621ca5
Fixed texinfo header + Cosmetic changes.
2012-03-30 12:08:13 +02:00
Stéphane Adjemian (Charybdis)
9bfc3f6ec6
Fixed bugs and typos.
2012-03-30 12:00:08 +02:00
Stéphane Adjemian (Charybdis)
2db0c98b9b
Fixed texinfo header.
2012-03-30 11:55:01 +02:00
Stéphane Adjemian (Charybdis)
795d0fce16
Cosmetic changes.
2012-03-30 11:48:23 +02:00
Stéphane Adjemian (Charybdis)
6c6b62937f
Added smooth resampling.
2012-03-30 11:47:24 +02:00
Stéphane Adjemian (Charybdis)
294dbdc52c
Fixed bug in the evaluation of the likelihood.
2012-03-30 11:21:24 +02:00
Stéphane Adjemian (Charybdis)
4aedf7e9c0
Added a commented line to print the effective number of particles if needed.
2012-03-12 10:29:25 +01:00
Stéphane Adjemian (Charybdis)
1ac55d8be8
Fixed bug.
2012-03-09 12:57:58 +01:00
Stéphane Adjemian (Charybdis)
ec9b47426a
Added an option for the threshold level of neff in the generic case of the resampling routines.
2012-03-09 12:44:25 +01:00
Stéphane Adjemian (Charybdis)
f12e8a3754
Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
2012-03-08 16:36:31 +01:00
Stéphane Adjemian (Charybdis)
8184ff3fdd
Fixed bug (wrong calling to the resample routine: missing inputs).
2012-03-08 15:53:20 +01:00
Stéphane Adjemian (Charybdis)
7f1ab166f5
Fixed bug.
2012-03-08 15:44:14 +01:00
Stéphane Adjemian (Charybdis)
a2f3a53634
Parallelization of local_state_space_iteration_2 (used in non linear filters).
2012-03-05 23:11:49 +01:00
Stéphane Adjemian (Charybdis)
0d58e1855d
Fixed compatibility issue with octave (use set_dynare_seed routine instead of the matlab's commands
...
to set the seed of the random number generators).
2012-03-05 14:37:55 +01:00
Stéphane Adjemian (Charybdis)
cc281897e0
Added new routine for non linear filter (auxiliary particle filter).
2012-03-04 22:13:00 +01:00
Stéphane Adjemian (Charybdis)
724b99412f
Added option for kitagawa/stratified approach in traditional resampling.
2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis)
3b471e3a99
Bug fix. Added missing input (method specification) to the resampling routine.
2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis)
13f1e62de8
Deleted trailing white spaces.
2012-03-04 22:12:58 +01:00
Stéphane Adjemian (Charybdis)
e882a2ea36
Added unitary test.
2012-03-04 22:09:18 +01:00
Stéphane Adjemian (Charybdis)
0aaa7a8a13
Fixed bug in internal tests of local_state_space_iteration_2 routine.
2012-03-04 22:07:27 +01:00
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