From 31e853bb9b810ea7a4becd5b5642f14ca8b0e27a Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Fri, 8 Jun 2018 20:58:48 +0200
Subject: [PATCH] Add the option of Monte Carlo nonlinear Kalman filter.
(cherry picked from commit 28f7c7621babacfa6eb7588b3ec25e47914dedb1)
---
src/nonlinear_kalman_filter.m | 6 +++++-
1 file changed, 5 insertions(+), 1 deletion(-)
diff --git a/src/nonlinear_kalman_filter.m b/src/nonlinear_kalman_filter.m
index 6710e69..9e118b9 100644
--- a/src/nonlinear_kalman_filter.m
+++ b/src/nonlinear_kalman_filter.m
@@ -89,7 +89,11 @@ end
% compute gaussian quadrature nodes and weights on states and shocks
-if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo
+if ParticleOptions.proposal_approximation.montecarlo
+ nodes = randn(ParticleOptions.number_of_particles,number_of_state_variables+number_of_structural_innovations) ;
+ weights = 1/ParticleOptions.number_of_particles ;
+ weights_c = weights ;
+elseif ParticleOptions.proposal_approximation.cubature
[nodes,weights] = spherical_radial_sigma_points(number_of_state_variables+number_of_structural_innovations) ;
weights_c = weights ;
elseif ParticleOptions.proposal_approximation.unscented
--
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