dynare/matlab/kalman/likelihood/missing_observations_kalman...

322 lines
13 KiB
Matlab

function [LIK, lik, a, P] = missing_observations_kalman_filter(data_index,number_of_observations,no_more_missing_observations,Y,start,last,a,P,kalman_tol,riccati_tol,rescale_prediction_error_covariance,presample,T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods,occbin_)
% [LIK, lik, a, P] = missing_observations_kalman_filter(data_index,number_of_observations,no_more_missing_observations,Y,start,last,a,P,kalman_tol,riccati_tol,rescale_prediction_error_covariance,presample,T,Q,R,H,Z,mm,pp,rr,Zflag,diffuse_periods,occbin_)
% Computes the likelihood of a state space model in the case with missing observations.
%
% INPUTS
% data_index [cell] 1*smpl cell of column vectors of indices.
% number_of_observations [integer] scalar.
% no_more_missing_observations [integer] scalar.
% Y [double] pp*smpl matrix of data.
% start [integer] scalar, index of the first observation.
% last [integer] scalar, index of the last observation.
% a [double] pp*1 vector, levels of the predicted initial state variables (E_{0}(alpha_1)).
% P [double] pp*pp matrix, covariance matrix of the initial state vector.
% kalman_tol [double] scalar, tolerance parameter (rcond).
% riccati_tol [double] scalar, tolerance parameter (riccati iteration).
% presample [integer] scalar, presampling if strictly positive.
% T [double] mm*mm transition matrix of the state equation.
% Q [double] rr*rr covariance matrix of the structural innovations.
% R [double] mm*rr matrix, mapping structural innovations to state variables.
% H [double] pp*pp (or 1*1 =0 if no measurement error) covariance matrix of the measurement errors.
% Z [integer] pp*1 vector of indices for the observed variables.
% mm [integer] scalar, dimension of the state vector.
% pp [integer] scalar, number of observed variables.
% rr [integer] scalar, number of structural innovations.
%
% OUTPUTS
% LIK [double] scalar, MINUS loglikelihood
% lik [double] vector, density of observations in each period.
% a [double] mm*1 vector, current estimate of the state vector tomorrow (E_{T}(alpha_{T+1})).
% P [double] mm*mm matrix, covariance matrix of the states.
%
%
% NOTES
% The vector "lik" is used to evaluate the jacobian of the likelihood.
% Copyright © 2004-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
% Set defaults
if nargin<20
Zflag = 0;
diffuse_periods = 0;
end
if nargin<21
diffuse_periods = 0;
end
if isempty(Zflag)
Zflag = 0;
end
if isempty(diffuse_periods)
diffuse_periods = 0;
end
if isequal(H,0)
H = zeros(pp,pp);
end
% Get sample size.
smpl = last-start+1;
% Initialize some variables.
dF = 1;
isqvec = false;
if ndim(Q)>2
Qvec = Q;
Q=Q(:,:,1);
isqvec = true;
end
QQ = R*Q*transpose(R); % Variance of R times the vector of structural innovations.
t = start; % Initialization of the time index.
lik = zeros(smpl,1); % Initialization of the vector gathering the densities.
LIK = Inf; % Default value of the log likelihood.
oldK = Inf;
notsteady = 1;
F_singular = true;
s = 0;
rescale_prediction_error_covariance0=rescale_prediction_error_covariance;
if occbin_.status
base_regime = struct();
Qt = repmat(Q,[1 1 3]);
a0 = zeros(mm,last);
a1 = zeros(mm,last);
P0 = zeros(mm,mm,last);
P1 = zeros(mm,mm,last);
vv = zeros(pp,last);
options_=occbin_.info{1};
dr=occbin_.info{2};
endo_steady_state=occbin_.info{3};
exo_steady_state=occbin_.info{4};
exo_det_steady_state=occbin_.info{5};
M_=occbin_.info{6};
occbin_options=occbin_.info{7};
occbin_options.opts_simul.SHOCKS = [];
opts_regime.regime_history = occbin_options.opts_regime.init_regime_history;
opts_regime.binding_indicator = occbin_options.opts_regime.init_binding_indicator;
if t>1
first_period_occbin_update = max(t+1,options_.occbin.likelihood.first_period_occbin_update);
else
first_period_occbin_update = options_.occbin.likelihood.first_period_occbin_update;
end
if isempty(opts_regime.binding_indicator) && isempty(opts_regime.regime_history)
opts_regime.binding_indicator=zeros(last+2,M_.occbin.constraint_nbr);
end
[~, ~, ~, regimes_] = occbin.check_regimes([], [], [], opts_regime, M_, options_, dr, endo_steady_state, exo_steady_state, exo_det_steady_state);
if length(occbin_.info)>7
TT=occbin_.info{8};
RR=occbin_.info{9};
CC=occbin_.info{10};
T0=occbin_.info{11};
R0=occbin_.info{12};
TT = cat(3,TT,T);
RR = cat(3,RR,R);
CC = cat(2,CC,zeros(mm,1));
if size(TT,3)<(last+1)
TT=repmat(T,1,1,last+1);
RR=repmat(R,1,1,last+1);
CC=repmat(zeros(mm,1),1,last+1);
end
end
if M_.occbin.constraint_nbr==1
base_regime.regime = 0;
base_regime.regimestart = 1;
else
base_regime.regime1 = 0;
base_regime.regimestart1 = 1;
base_regime.regime2 = 0;
base_regime.regimestart2 = 1;
end
else
first_period_occbin_update = inf;
C=0;
end
while notsteady && t<=last
if occbin_.status
a1(:,t) = a;
P1(:,:,t) = P;
C = CC(:,t+1);
R = RR(:,:,t+1);
T = TT(:,:,t+1);
if ~(isqvec)
QQ = R*Q*transpose(R); % Variance of R times the vector of structural innovations.
end
if t==1
Pinit = P1(:,:,1);
ainit = a1(:,1);
end
end
s = t-start+1;
d_index = data_index{t};
if isqvec
QQ = R*Qvec(:,:,t+1)*transpose(R);
end
if isempty(d_index)
a = T*a;
P = T*P*transpose(T)+QQ;
else
% Compute the prediction error and its variance
if Zflag
z = Z(d_index,:);
v = Y(d_index,t)-z*a;
F = z*P*z' + H(d_index,d_index);
else
z = Z(d_index);
v = Y(d_index,t) - a(z);
F = P(z,z) + H(d_index,d_index);
end
badly_conditioned_F = false;
if rescale_prediction_error_covariance
sig=sqrt(diag(F));
if any(diag(F)<kalman_tol) || rcond(F./(sig*sig'))<kalman_tol
badly_conditioned_F = true;
end
else
if rcond(F)<kalman_tol
sig=sqrt(diag(F));
if any(diag(F)<kalman_tol) || rcond(F./(sig*sig'))<kalman_tol
badly_conditioned_F = true;
else
rescale_prediction_error_covariance=1;
end
% badly_conditioned_F = true;
end
end
if badly_conditioned_F && (~occbin_.status || (occbin_.status && t<first_period_occbin_update))
% if ~all(abs(F(:))<kalman_tol), then use univariate filter, otherwise this is a
% pathological case and the draw is discarded
return
else
F_singular = false;
end
if ~occbin_.status || (occbin_.status && (options_.occbin.likelihood.use_updated_regime==0 || t<first_period_occbin_update))
if rescale_prediction_error_covariance
log_dF = log(det(F./(sig*sig')))+2*sum(log(sig));
iF = inv(F./(sig*sig'))./(sig*sig');
rescale_prediction_error_covariance=rescale_prediction_error_covariance0;
else
log_dF = log(det(F));
iF = inv(F);
end
lik(s) = log_dF + transpose(v)*iF*v + length(d_index)*log(2*pi);
if t<first_period_occbin_update
if Zflag
K = P*z'*iF;
if occbin_.status
P0(:,:,t) = (P-K*z*P);
end
P = T*(P-K*z*P)*transpose(T)+QQ;
else
K = P(:,z)*iF;
if occbin_.status
P0(:,:,t) = (P-K*P(z,:));
end
P = T*(P-K*P(z,:))*transpose(T)+QQ;
end
if occbin_.status
a0(:,t) = (a+K*v);
vv(d_index,t) = v;
end
a = T*(a+K*v)+C;
if t>=no_more_missing_observations && ~isqvec && ~occbin_.status
notsteady = max(abs(K(:)-oldK))>riccati_tol;
oldK = K(:);
end
end
end
end
if occbin_.status && t>=first_period_occbin_update
occbin_options.opts_simul.waitbar=0;
if t==1
if isqvec
Qt = cat(3,Q,Qvec(:,:,t:t+1));
end
a00 = ainit;
a10 = [a00 a(:,1)];
P00 = Pinit;
P10 = P1(:,:,[1 1]);
data_index0{1}=[];
data_index0(2)=data_index(1);
v0(:,2)=vv(:,1);
Y0(:,2)=Y(:,1);
Y0(:,1)=nan;
TT01 = cat(3,T,TT(:,:,1));
RR01 = cat(3,R,RR(:,:,1));
CC01 = zeros(size(CC,1),2);
CC01(:,2) = CC(:,1);
% insert here kalman update engine
[ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regx, info, M_, likx] = occbin.kalman_update_engine(a00, a10, P00, P10, t, data_index0, Z, v0, Y0, H, Qt, T0, R0, TT01, RR01, CC01, regimes_(t:t+1), base_regime, d_index, M_, dr, endo_steady_state,exo_steady_state,exo_det_steady_state, options_, occbin_options);
% [ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regimes_(t:t+2), info, M_, likx] = occbin.kalman_update_algo_1(a00, a10, P00, P10, data_index0, Z, v0, Y0, H, Qt, T0, R0, TT01, RR01, CC01, regimes_(t:t+1), M_, dr, endo_steady_state,exo_steady_state,exo_det_steady_state, options_, occbin_options);
else
if isqvec
Qt = Qvec(:,:,t-1:t+1);
end
% insert here kalman update engine
[ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regx, info, M_, likx] = occbin.kalman_update_engine(a0(:,t-1),a1(:,t-1:t),P0(:,:,t-1),P1(:,:,t-1:t),t,data_index(t-1:t),Z,vv(:,t-1:t),Y(:,t-1:t),H,Qt,T0,R0,TT(:,:,t-1:t),RR(:,:,t-1:t),CC(:,t-1:t),regimes_(t:t+1),base_regime,d_index,M_,dr, endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
% [ax, a1x, Px, P1x, vx, Tx, Rx, Cx, regimes_(t:t+2), info, M_, likx] = occbin.kalman_update_algo_1(a0(:,t-1),a1(:,t-1:t),P0(:,:,t-1),P1(:,:,t-1:t),data_index(t-1:t),Z,vv(:,t-1:t),Y(:,t-1:t),H,Qt,T0,R0,TT(:,:,t-1:t),RR(:,:,t-1:t),CC(:,t-1:t),regimes_(t:t+1),M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,occbin_options);
end
if info
if options_.debug
fprintf('\nmissing_observations_kalman_filter:PKF failed in period %u with: %s\n', t, get_error_message(info,options_));
end
return
end
if options_.occbin.likelihood.use_updated_regime
lik(s) = likx;
end
regimes_(t:t+2) = regx;
a0(:,t) = ax(:,1);
a1(:,t) = a1x(:,2);
a = ax(:,2);
vv(d_index,t) = vx(d_index,2);
TT(:,:,t:t+1) = Tx;
RR(:,:,t:t+1) = Rx;
CC(:,t:t+1) = Cx;
P0(:,:,t) = Px(:,:,1);
P1(:,:,t) = P1x(:,:,2);
P = Px(:,:,2);
end
t = t+1;
end
if F_singular
error('The variance of the forecast error remains singular until the end of the sample')
end
% Divide by two.
lik(1:s) = .5*lik(1:s);
% Call steady state Kalman filter if needed.
if t<=last
[~, lik(s+1:end)] = kalman_filter_ss(Y, t, last, a, T, K, iF, log_dF, Z, pp, Zflag);
end
% Compute minus the log-likelihood.
if presample>=diffuse_periods
LIK = sum(lik(1+presample-diffuse_periods:end));
else
LIK = sum(lik);
end