function initial_distribution = auxiliary_initialization(ReducedForm,Y,start,DynareOptions) % Evaluates the likelihood of a nonlinear model with a particle filter allowing eventually resampling. % % INPUTS % ReducedForm [structure] Matlab's structure describing the reduced form model. % ReducedForm.measurement.H [double] (pp x pp) variance matrix of measurement errors. % ReducedForm.state.Q [double] (qq x qq) variance matrix of state errors. % ReducedForm.state.dr [structure] output of resol.m. % Y [double] pp*smpl matrix of (detrended) data, where pp is the maximum number of observed variables. % start [integer] scalar, likelihood evaluation starts at 'start'. % mf [integer] pp*1 vector of indices. % number_of_particles [integer] scalar. % % OUTPUTS % LIK [double] scalar, likelihood % lik [double] vector, density of observations in each period. % % REFERENCES % % NOTES % The vector "lik" is used to evaluate the jacobian of the likelihood. % Copyright (C) 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 . persistent init_flag mf0 mf1 number_of_particles persistent number_of_observed_variables number_of_structural_innovations % Set default 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 isempty(init_flag) mf0 = ReducedForm.mf0; mf1 = ReducedForm.mf1; 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; H = ReducedForm.H; if isempty(H) H = 0; end % Get initial condition for the state vector. StateVectorMean = ReducedForm.StateVectorMean; StateVectorVarianceSquareRoot = reduced_rank_cholesky(ReducedForm.StateVectorVariance)'; state_variance_rank = size(StateVectorVarianceSquareRoot,2); %Q_lower_triangular_cholesky = chol(Q)'; %if pruning % StateVectorMean_ = StateVectorMean; % StateVectorVarianceSquareRoot_ = StateVectorVarianceSquareRoot; %end % Set seed for randn(). set_dynare_seed('default'); % Initialization of the likelihood. const_lik = log(2*pi)*number_of_observed_variables; % 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 yhat = bsxfun(@minus,StateVectors,state_variables_steady_state); %if pruning % yhat_ = bsxfun(@minus,StateVectors_,state_variables_steady_state); % [tmp, tmp_] = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,steadystate,DynareOptions.threads.local_state_space_iteration_2); %else tmp = local_state_space_iteration_2(yhat,zeros(number_of_structural_innovations,number_of_particles),ghx,ghu,constant,ghxx,ghuu,ghxu,DynareOptions.threads.local_state_space_iteration_2); %end PredictedObservedMean = weights*(tmp(mf1,:)'); PredictionError = bsxfun(@minus,Y(:,t),tmp(mf1,:)); dPredictedObservedMean = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean'); PredictedObservedVariance = bsxfun(@times,weights,dPredictedObservedMean)*dPredictedObservedMean' + H; wtilde = exp(-.5*(const_lik+log(det(PredictedObservedVariance))+sum(PredictionError.*(PredictedObservedVariance\PredictionError),1))) ; tau_tilde = weights.*wtilde ; tau_tilde = tau_tilde/sum(tau_tilde); initial_distribution = resample(StateVectors',tau_tilde',DynareOptions)' ;