57 lines
1.6 KiB
Matlab
57 lines
1.6 KiB
Matlab
load test
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% $$$ Y = Y(1:2,:);
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% $$$ mf = mf(1:2);
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% $$$ H=H(1:2,1:2);
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% $$$ pp = pp-1;
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% $$$ trend =trend(1:2,:);
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Pinf1(1,1) = 1;
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Pstar1(1,1) = 0;
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Pstar1(4,1) = 0;
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Pstar1(1,4) = 0;
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[alphahat1,epsilonhat1,etahat1,a11, aK1] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
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Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
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[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q,H, ...
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Pinf1,Pstar1,Y,trend, ...
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pp,mm,smpl,mf);
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max(max(abs(alphahat1-alphahat2)))
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max(max(abs(epsilonhat1-epsilonhat2)))
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max(max(abs(etahat1-etahat2)))
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max(max(abs(a11-a12)))
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max(max(abs(aK1-aK2)))
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return
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[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
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Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
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[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
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Pinf1,Pstar1,Y,trend, ...
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pp,mm,smpl,mf);
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max(max(abs(alphahat1-alphahat2)))
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max(max(abs(etahat1-etahat2)))
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max(max(abs(a11-a12)))
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%max(max(abs(aK1-aK2)))
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H = zeros(size(H));
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[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
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Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
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[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
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Pinf1,Pstar1,Y,trend, ...
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pp,mm,smpl,mf);
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max(max(abs(alphahat1-alphahat2)))
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max(max(abs(etahat1-etahat2)))
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max(max(abs(a11-a12)))
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%max(max(abs(aK1-aK2)))
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[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother3(T,R,Q, ...
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Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
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[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q, H, ...
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Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
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max(max(abs(alphahat1-alphahat2)))
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max(max(abs(etahat1-etahat2)))
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max(max(abs(a11-a12)))
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%max(max(abs(aK1-aK2)))
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