60 lines
2.4 KiB
C++
60 lines
2.4 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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// LogLikelihoodSubSample.h
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// Implementation of the Class LogLikelihoodSubSample
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// Created on: 14-Jan-2010 22:39:14
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///////////////////////////////////////////////////////////
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#if !defined(DF8B7AF5_8169_4587_9037_2CD2C82E2DDF__INCLUDED_)
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#define DF8B7AF5_8169_4587_9037_2CD2C82E2DDF__INCLUDED_
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#include "EstimatedParametersDescription.hh"
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#include "KalmanFilter.hh"
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#include "VDVEigDecomposition.hh"
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class LogLikelihoodSubSample {
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public:
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LogLikelihoodSubSample(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,
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const std::vector<size_t> &zeta_mixed_arg, const std::vector<size_t> &zeta_static_arg, const double qz_criterium,
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const std::vector<size_t> &varobs_arg, double riccati_tol_in, double lyapunov_tol, int &info);
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double compute(VectorView &steadyState, const MatrixConstView &dataView, const Vector &estParams, Vector &deepParams,
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Matrix &Q, Matrix &H, VectorView &vll, MatrixView &detrendedDataView, int &info, size_t start, size_t period);
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virtual ~LogLikelihoodSubSample();
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private:
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double penalty;
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double logLikelihood;
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EstimatedParametersDescription &estiParDesc;
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KalmanFilter kalmanFilter;
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VDVEigDecomposition eigQ;
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VDVEigDecomposition eigH;
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int &info;
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// methods
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void updateParams(const Vector &estParams, Vector &deepParams,
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Matrix &Q, Matrix &H, size_t period);
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};
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#endif // !defined(DF8B7AF5_8169_4587_9037_2CD2C82E2DDF__INCLUDED_)
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