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117 Commits (e9ffb16ec62b8e6cba2ca1dc84e8c4c65d8a45f0)

Author SHA1 Message Date
michel 3260ba476e 4.1 correcting bug for large values of start and fixed constants in lik. Still need to be tested 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2715 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-28 18:14:07 +00:00
michel 27387d5e10 4.1: changing handling of constants in Kalman filter 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2700 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-05-27 10:43:34 +00:00
sebastien 2495aca72a trunk: 
* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-21 14:39:24 +00:00
michel 3a55016cf6 more speeding up changes 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2353 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-05 11:37:05 +00:00
michel 163b4461ec adding parentheses for speed improvement 
code factorization


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2352 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-01-04 07:53:49 +00:00
michel bf65cb4f10 various bug fixes for filter and smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2282 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-12-03 07:30:26 +00:00
michel eba6164cae fixing bugs around missing observations and starting to add smoother with missing observations 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-11-25 17:31:37 +00:00
adjemian 6929164339 v4.1: Added univariate approach for the diffuse kalman filter (with correlated measurement errors). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2230 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-29 15:38:34 +00:00
adjemian 6eadbe0005 v4.1: Added univariate approach of the diffuse kalman filter (missing observations and uncorrelated 
measurement errors are allowed).



git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2225 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-29 14:18:18 +00:00
adjemian 5618fea33b v4.1: Added two routines for diffuse kalman filtering (with or without missing observations). 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2216 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-27 17:12:44 +00:00
adjemian 42bdc2726c v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and 
correlated measurement errors. Tests show that there is a "significant" discrepancy between the 
univariate filter and the standard filter in presence of correlated measurement errors... 

 


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-21 15:29:33 +00:00
adjemian 616f47377f v4.1: Bug corrections. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2180 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-20 12:58:08 +00:00
adjemian c5e73fcbaf v4.1: Added subfolders in ./matlab/kalman. 
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
adjemian 8c030e7eb0 v4.1: Changed header. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2161 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 18:04:43 +00:00
adjemian d0e8345536 v4.1: Changes related to kalman filter with missing observations. 
* Changed header of missing_observations_kalman_filter
 * Added the univariate approach. This file handles the cases with measurement errors and/or missing data.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2160 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 18:03:33 +00:00
adjemian 09e32240bd v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations. 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-16 13:40:40 +00:00
adjemian f58cdcf676 v4.1: Files related to kalman filter (likelihood evaluation of a state space model with or without missing observations). 
* Added a new tolerance parameter specific to the iteration on the riccati equation.
 * Added a kalman filter routine allowing for missing observations.
 * I do not distinguish anymore models with and without measurement errors (the same m file is used for both models to evaluate the likelihood). For a model without measurement errors H hat to be set to 0 scalar.

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2148 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-13 18:54:42 +00:00