70 lines
4.0 KiB
C++
70 lines
4.0 KiB
C++
%%default
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=0,mode_compute=4,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_0=oo_.likelihood_at_initial_parameters;
|
|
%%Multivariate Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=1,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_1=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,1)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,1)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,1)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
%%Univariate Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=3,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_3=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,3)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,3)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,3)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
%%Diffuse Multivariate Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=2,mode_file=@{mode_file_name},mode_compute=0,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_2=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,2)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,2)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,2)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
%%Diffuse univariate Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=4,mode_file=@{mode_file_name},mode_compute=0,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_4=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,4)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,4)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,4)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
|
|
%%Multivariate Fast Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=1,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_5=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,5)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,5)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,5)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
%%Multivariate Fast Kalman Filter
|
|
options_.lik_init=1;
|
|
estimation(kalman_algo=3,fast_kalman_filter,mode_file=@{mode_file_name},mode_compute=0,order=1,datafile=@{data_file_name},smoother,filter_decomposition,forecast = 8,filtered_vars,filter_step_ahead=[1,3],irf=20) m P c e W R k d y gy_obs;
|
|
fval_algo_6=oo_.likelihood_at_initial_parameters;
|
|
SmoothedMeasurementErrors(:,:,6)=cell2mat(struct2cell(oo_.SmoothedMeasurementErrors));
|
|
SmoothedShocks(:,:,6)=cell2mat(struct2cell(oo_.SmoothedShocks));
|
|
SmoothedVariables(:,:,6)=cell2mat(struct2cell(oo_.SmoothedVariables));
|
|
|
|
|
|
if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-8
|
|
error('SmoothedMeasurementErrors do not match')
|
|
end
|
|
|
|
if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-8
|
|
error('SmoothedShocks do not match')
|
|
end
|
|
|
|
if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-8
|
|
error('SmoothedVariables do not match')
|
|
end
|
|
|
|
if max(abs([fval_algo_2,fval_algo_3,fval_algo_4,fval_algo_5,fval_algo_6]-fval_algo_1))>1e-6
|
|
error('Likelihoods do not match')
|
|
end
|