function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,DynareOptions) % Evaluates the likelihood of a nonlinear model with a particle filter (optionally with resampling). % Standard Sequential Monte Carlo approach with % - the usual proposal (the state transition distribution) % - options on resampling: none, adaptive or systematic %@info: %! @deftypefn {Function File} {@var{y}, @var{y_} =} sequential_importance_particle_filter (@var{ReducedForm},@var{Y}, @var{start}, @var{DynareOptions}) %! @anchor{particle/sequential_importance_particle_filter} %! @sp 1 %! Evaluates the likelihood of a nonlinear model with a particle filter (optionally with resampling). %! %! @sp 2 %! @strong{Inputs} %! @sp 1 %! @table @ @var %! @item ReducedForm %! Structure describing the state space model (built in @ref{non_linear_dsge_likelihood}). %! @item Y %! p*smpl matrix of doubles (p is the number of observed variables), the (detrended) data. %! @item start %! Integer scalar, likelihood evaluation starts at observation 'start'. %! @item DynareOptions %! Structure specifying Dynare's options. %! @end table %! @sp 2 %! @strong{Outputs} %! @sp 1 %! @table @ @var %! @item LIK %! double scalar, value of (minus) the logged likelihood. %! @item lik %! smpl*1 vector of doubles, density of the observations at each period. %! @end table %! @sp 2 %! @strong{This function is called by:} %! @ref{non_linear_dsge_likelihood} %! @sp 2 %! @strong{This function calls:} %! %! @end deftypefn %@eod: % Copyright (C) 2011-2013 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . % AUTHOR(S) frederic DOT karame AT univ DASH lemans DOT fr % stephane DOT adjemian AT univ DASH lemans DOT fr persistent init_flag persistent mf0 mf1 persistent number_of_particles number_of_state_variables persistent sample_size number_of_observed_variables number_of_structural_innovations % Set default value for start if isempty(start) start = 1; end % Set flag for prunning pruning = DynareOptions.particle.pruning; % Get steady state and mean. steadystate = ReducedForm.steadystate; constant = ReducedForm.constant; state_variables_steady_state = ReducedForm.state_variables_steady_state; % Set persistent variables (if needed). if isempty(init_flag) mf0 = ReducedForm.mf0; mf1 = ReducedForm.mf1; sample_size = size(Y,2); number_of_state_variables = length(mf0); number_of_observed_variables = length(mf1); number_of_structural_innovations = length(ReducedForm.Q); number_of_particles = DynareOptions.particle.number_of_particles; init_flag = 1; end % Set local state space model (first order approximation). ghx = ReducedForm.ghx; ghu = ReducedForm.ghu; % Set local state space model (second order approximation). ghxx = ReducedForm.ghxx; ghuu = ReducedForm.ghuu; ghxu = ReducedForm.ghxu; % Get covariance matrices. Q = ReducedForm.Q; % Covariance matrix of the structural innovations. H = ReducedForm.H; % Covariance matrix of the measurement errors. if isempty(H) H = 0; end % Initialization of the likelihood. const_lik = log(2*pi)*number_of_observed_variables; lik = NaN(sample_size,1); % Get initial condition for the state vector. StateVectorMean = ReducedForm.StateVectorMean; StateVectorVarianceSquareRoot = reduced_rank_cholesky(ReducedForm.StateVectorVariance)'; if pruning StateVectorMean_ = StateVectorMean; StateVectorVarianceSquareRoot_ = StateVectorVarianceSquareRoot; end % Get the rank of StateVectorVarianceSquareRoot state_variance_rank = size(StateVectorVarianceSquareRoot,2); % Factorize the covariance matrix of the structural innovations Q_lower_triangular_cholesky = chol(Q)'; % Set seed for randn(). set_dynare_seed('default'); % Initialization of the weights across particles. weights = ones(1,number_of_particles)/number_of_particles ; StateVectors = bsxfun(@plus,StateVectorVarianceSquareRoot*randn(state_variance_rank,number_of_particles),StateVectorMean); if pruning StateVectors_ = StateVectors; end % Loop over observations for t=1:sample_size yhat = bsxfun(@minus,StateVectors,state_variables_steady_state); epsilon = Q_lower_triangular_cholesky*randn(number_of_structural_innovations,number_of_particles); if pruning yhat_ = bsxfun(@minus,StateVectors_,state_variables_steady_state); [tmp, tmp_] = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,DynareOptions.threads.local_state_space_iteration_2); else tmp = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,DynareOptions.threads.local_state_space_iteration_2); end PredictedObservedMean = tmp(mf1,:)*transpose(weights); PredictionError = bsxfun(@minus,Y(:,t),tmp(mf1,:)); dPredictedObservedMean = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean); PredictedObservedVariance = bsxfun(@times,dPredictedObservedMean,weights)*dPredictedObservedMean' + H; if rcond(PredictedObservedVariance) > 1e-16 lnw = -.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1)); else LIK = NaN; return end dfac = max(lnw); wtilde = weights.*exp(lnw-dfac); lik(t) = log(sum(wtilde))+dfac; weights = wtilde/sum(wtilde); if (strcmp(DynareOptions.particle.resampling.status,'generic') && neff(weights)