55 lines
2.3 KiB
Matlab
55 lines
2.3 KiB
Matlab
function estim_params_= get_matrix_entries_for_psd_check(M_,estim_params_)
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% function estim_params_= get_matrix_entries_for_psd_check(M_)
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% Get entries of Sigma_e and H to check for positive definiteness
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%
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% INPUTS
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% M_: structure storing the model information
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% estim_params_: structure storing information about estimated
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% parameters
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% OUTPUTS
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% estim_params_: structure storing information about estimated
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% parameters
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2020 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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%% get the non-zero rows and columns of Sigma_e and H
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H_non_zero_rows=find(~all(M_.H==0,1));
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H_non_zero_columns=find(~all(M_.H==0,2));
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if ~isequal(H_non_zero_rows,H_non_zero_columns') || (any(any(M_.H-M_.H'>1e-10)))
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error('Measurement error matrix not symmetric')
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end
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if isfield(estim_params_,'nvn_observable_correspondence')
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estim_params_.H_entries_to_check_for_positive_definiteness=union(H_non_zero_rows,estim_params_.nvn_observable_correspondence(:,1));
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else
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estim_params_.H_entries_to_check_for_positive_definiteness=H_non_zero_rows;
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end
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Sigma_e_non_zero_rows=find(~all(M_.Sigma_e==0,1));
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Sigma_e_non_zero_columns=find(~all(M_.Sigma_e==0,2));
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if ~isequal(Sigma_e_non_zero_rows,Sigma_e_non_zero_columns') || (any(any(M_.Sigma_e-M_.Sigma_e'>1e-10)))
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error('Structual error matrix not symmetric')
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end
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if isfield(estim_params_,'var_exo') && ~isempty(estim_params_.var_exo)
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estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=union(Sigma_e_non_zero_rows,estim_params_.var_exo(:,1));
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else
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estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=Sigma_e_non_zero_rows;
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end |