Stéphane Adjemian (Charybdis)
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db2615a4c7
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Use economy-size decomposition option of qr2 routine.
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2012-11-20 14:39:45 +01:00 |
Frédéric Karamé
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6139af89d5
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add pruning in the auxiliary particle filter.
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2012-11-16 17:27:54 +01:00 |
Frédéric Karamé
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35c77c2e46
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typo fixed.
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2012-11-16 13:25:41 +01:00 |
Frédéric Karamé
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915a203add
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bug fixed.
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2012-11-16 13:12:21 +01:00 |
Frédéric Karamé
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919bd97682
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add minor modifications.
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2012-11-16 12:35:11 +01:00 |
Frédéric Karamé
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202d8a2bd2
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minor modifications
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2012-11-16 12:35:11 +01:00 |
Frédéric Karamé
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c8c7b9faf6
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minor modifications.
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2012-11-16 12:35:11 +01:00 |
Frédéric Karamé
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eb9bc512d7
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fixed bug in calculation of observed mean and variance + add the possibility for smooth resampling
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2012-11-16 12:35:11 +01:00 |
Frédéric Karamé
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3a9eed00df
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fixed bugs for estimating a gaussian-mixture distribution.
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2012-11-16 12:25:46 +01:00 |
Frédéric Karamé
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186de044f4
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fix bugs for sampling in a gaussian-mixture distributions.
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2012-11-16 12:25:46 +01:00 |
Frédéric Karamé
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f7e3ad7b25
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fix bugs in k-means code.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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f41e969dbe
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computes the weights and the nodes for approximating gaussian distributions using the scaled unscented approach.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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a184e80a89
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computes the nodes and weights for approximating a gaussian distribution.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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d5666529af
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computes the density of particles in a gaussian-mixture distribution.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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2fb1065b4f
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computes the density of particles in a gaussian distribution.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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56e723c08e
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Computes the density of observables as a function of states.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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eb72df7bc6
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computes the proposal distribution during the importance sampling step for gaussian-mixture filters. Fix many bugs.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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ab2ae38e8f
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computes incremental weights for gaussian-mixture filters.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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7dcdd20f6e
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gaussian mixture nonlinear filters: uses gaussian-mixture approximations for particles. Fix bugs and normalize the way likelihood is calculated.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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b0788fae50
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computes the proposal distribution during the importance sampling step in gaussian nonlinear filters. Uses a nonlinear Kalman filter and several gaussian approximations.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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553c26e0b3
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gaussian nonlinear filter : uses a gaussian approximation for particles.
fix bugs and normalize the way we write the likelihood.
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2012-11-16 12:25:45 +01:00 |
Frédéric Karamé
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4725a2054d
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compute incremental weights for gaussian filters.
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2012-11-16 12:25:44 +01:00 |
Frédéric Karamé
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a96850a090
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fix bugs on sorting variables.
test different cases before doing resampling
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2012-11-16 12:25:44 +01:00 |
Frédéric Karamé
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f0fcfa3b62
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fix bugs in the univariate smooth resampling approach.
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2012-11-16 12:25:44 +01:00 |
Frédéric Karamé
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c6e5368a9d
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fix bug for weights initialization.
fix bug for calculating observed predicted mean and variance with the correct weights.
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2012-11-16 12:25:44 +01:00 |
Frédéric Karamé
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6350962186
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Fixed copyright.
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2012-11-16 12:18:55 +01:00 |
Stéphane Adjemian (Charybdis)
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4604148d2f
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Put back pruning in particle filter (implemented in sequential_importance_particle_filter).
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2012-11-07 15:58:56 +01:00 |
Stéphane Adjemian (Charybdis)
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c7bd05224f
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Fixed issue with weights when computing first and second order moments.
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2012-11-07 10:48:05 +01:00 |
Sébastien Villemot
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1f9cea669a
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Update copyright notices
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2012-06-08 18:22:34 +02:00 |
Stéphane Adjemian (Charybdis)
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ac2fa68b86
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Fixed bug related to the resampling of the particles.
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2012-05-04 11:22:17 +02:00 |
Stéphane Adjemian (Charybdis)
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be33621ca5
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Fixed texinfo header + Cosmetic changes.
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2012-03-30 12:08:13 +02:00 |
Stéphane Adjemian (Charybdis)
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9bfc3f6ec6
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Fixed bugs and typos.
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2012-03-30 12:00:08 +02:00 |
Stéphane Adjemian (Charybdis)
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2db0c98b9b
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Fixed texinfo header.
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2012-03-30 11:55:01 +02:00 |
Stéphane Adjemian (Charybdis)
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795d0fce16
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Cosmetic changes.
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2012-03-30 11:48:23 +02:00 |
Stéphane Adjemian (Charybdis)
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6c6b62937f
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Added smooth resampling.
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2012-03-30 11:47:24 +02:00 |
Stéphane Adjemian (Charybdis)
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294dbdc52c
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Fixed bug in the evaluation of the likelihood.
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2012-03-30 11:21:24 +02:00 |
Stéphane Adjemian (Charybdis)
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4aedf7e9c0
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Added a commented line to print the effective number of particles if needed.
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2012-03-12 10:29:25 +01:00 |
Stéphane Adjemian (Charybdis)
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1ac55d8be8
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Fixed bug.
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2012-03-09 12:57:58 +01:00 |
Stéphane Adjemian (Charybdis)
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ec9b47426a
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Added an option for the threshold level of neff in the generic case of the resampling routines.
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2012-03-09 12:44:25 +01:00 |
Stéphane Adjemian (Charybdis)
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f12e8a3754
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Force the weights to sum up to one, and not to the number of particles as in WK (Econometrica 2010).
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2012-03-08 16:36:31 +01:00 |
Stéphane Adjemian (Charybdis)
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8184ff3fdd
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Fixed bug (wrong calling to the resample routine: missing inputs).
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2012-03-08 15:53:20 +01:00 |
Stéphane Adjemian (Charybdis)
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7f1ab166f5
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Fixed bug.
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2012-03-08 15:44:14 +01:00 |
Stéphane Adjemian (Charybdis)
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a2f3a53634
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Parallelization of local_state_space_iteration_2 (used in non linear filters).
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2012-03-05 23:11:49 +01:00 |
Stéphane Adjemian (Charybdis)
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0d58e1855d
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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).
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2012-03-05 14:37:55 +01:00 |
Stéphane Adjemian (Charybdis)
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cc281897e0
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Added new routine for non linear filter (auxiliary particle filter).
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2012-03-04 22:13:00 +01:00 |
Stéphane Adjemian (Charybdis)
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724b99412f
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Added option for kitagawa/stratified approach in traditional resampling.
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2012-03-04 22:12:59 +01:00 |
Stéphane Adjemian (Charybdis)
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3b471e3a99
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Bug fix. Added missing input (method specification) to the resampling routine.
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2012-03-04 22:12:59 +01:00 |
Stéphane Adjemian (Charybdis)
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13f1e62de8
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Deleted trailing white spaces.
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2012-03-04 22:12:58 +01:00 |
Stéphane Adjemian (Charybdis)
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e882a2ea36
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Added unitary test.
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2012-03-04 22:09:18 +01:00 |
Stéphane Adjemian (Charybdis)
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0aaa7a8a13
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Fixed bug in internal tests of local_state_space_iteration_2 routine.
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2012-03-04 22:07:27 +01:00 |