64 lines
2.6 KiB
C++
64 lines
2.6 KiB
C++
/*
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* Copyright (C) 2009-2010 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 <http://www.gnu.org/licenses/>.
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*/
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///////////////////////////////////////////////////////////
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// LogLikelihoodMain.h
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// Implementation of the Class LogLikelihoodMain
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// Created on: 02-Feb-2010 12:57:09
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///////////////////////////////////////////////////////////
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#if !defined(E126AEF5_AC28_400a_821A_3BCFD1BC4C22__INCLUDED_)
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#define E126AEF5_AC28_400a_821A_3BCFD1BC4C22__INCLUDED_
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#include "LogLikelihoodSubSample.hh"
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class LogLikelihoodMain {
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private:
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std::vector<EstimationSubsample> &estSubsamples; // reference to member of EstimatedParametersDescription
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LogLikelihoodSubSample logLikelihoodSubSample;
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Vector vll; // vector of all KF step likelihoods
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Matrix detrendedData;
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public:
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virtual ~LogLikelihoodMain();
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LogLikelihoodMain( //const Matrix &data, Vector &deepParams_arg, //GeneralParams& estimOptions,
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const std::string &dynamicDllFile, EstimatedParametersDescription &estiParDesc, size_t n_endo, size_t n_exo,
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const std::vector<size_t> &zeta_fwrd_arg, const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg,
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const std::vector<size_t> &zeta_static_arg, const double qz_criterium_arg, const std::vector<size_t> &varobs_arg,
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double riccati_tol_arg, double lyapunov_tol_arg, int &info);
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/**
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* Compute method Inputs:
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* Matrix &steadyState; Matrix of sub-sample periods column-vectors of steady states, one column vectro for each sub-sample period
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* vectors of deep deepParams and estimated estParams
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* Matrix &data input data reference
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* Q and H KF matrices of shock and measurement error varinaces and covariances
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* KF logLikelihood calculation start period.
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*/
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double compute(Matrix &steadyState, const Vector &estParams, Vector &deepParams, const MatrixConstView &data,
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Matrix &Q, Matrix &H, size_t presampleStart, int &info); // for calls from estimation and to set Steady State
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Vector &
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getVll()
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{
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return vll;
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};
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};
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#endif // !defined(E126AEF5_AC28_400a_821A_3BCFD1BC4C22__INCLUDED_)
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