Johannes Pfeifer authored 4 years ago and Stéphane Adjemian committed 4 years ago

(cherry picked from commit e685fa39)

Johannes Pfeifer authored 4 years ago and Stéphane Adjemian committed 4 years ago

Port state variance initialization fix from Dynare/dynare@dab5d380

(cherry picked from commit 60f71f27)

Johannes Pfeifer authored 4 years ago and Stéphane Adjemian committed 4 years ago

(cherry picked from commit f4003536)

Johannes Pfeifer authored 4 years ago and Sébastien Villemot committed 4 years ago

Closes Dynare/dynare#1718

(cherry picked from commit 3dca797b)

Johannes Pfeifer authored 4 years ago and Sébastien Villemot committed 4 years ago

(cherry picked from commit 178eaceb)

Ref. dynare#1673

(cherry picked from commit cef20151)

Ref. dynare#1673

Ref. dynare#1673

Ref. dynare#1673

Ref. dynare#1673

Ref. dynare#1673

 - Rewrote doc headers
 - Changed function signatures
 - Removed persistent variables
 - Compute the mode of the particle weights
 - Return the covariance matrix of the particles in the last period
 - Various cosmetic changes

include parallelisation, correction of the likelihood calculation for the Amisano and Tristani option and the possibility of monte carlo draws for the proposal.

Properly terminate nonlinear_kalman_filter if non-positive definite m…

Otherwise, crashes can happen during mode-finding