Commit 69d015a7 by Marco Ratto

### Asymptotic Hessian now works also for univariate stationary KF.

parent 2fecf994
 ... ... @@ -520,7 +520,7 @@ if analytic_derivation, DT = DT(iv,iv,:); DOm = DOm(iv,iv,:); DYss = DYss(iv,:); DH=zeros([size(H),length(xparam1)]); DH=zeros([length(H),length(H),length(xparam1)]); DQ=zeros([size(Q),length(xparam1)]); DP=zeros([size(T),length(xparam1)]); if full_Hess, ... ... @@ -651,6 +651,7 @@ if (kalman_algo==2) || (kalman_algo==4) if all(all(abs(H-diag(diag(H)))<1e-14))% ie, the covariance matrix is diagonal... H = diag(H); mmm = mm; clear tmp if analytic_derivation, for j=1:pp, tmp(j,:)=DH(j,j,:); ... ... @@ -704,11 +705,11 @@ if analytic_derivation % Hess0 = getHessian(Y,T,DT,D2T, R*Q*transpose(R),DOm,D2Om,Z,DYss,D2Yss); end if asy_Hess, if ~((kalman_algo==2) || (kalman_algo==4)), [Hess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol); else % if ~((kalman_algo==2) || (kalman_algo==4)), % [Hess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol); % else Hess = LIK1{3}; end % end end end ... ...
 ... ... @@ -130,7 +130,9 @@ if info(1)==0, options_.noprint = 1; options_.order = 1; options_.periods = data_info.info.ntobs+100; options_.kalman_algo = 1; if options_.kalman_algo > 2, options_.kalman_algo = 1; end options_.analytic_derivation = -2; info = stoch_simul(options_.varobs); data_info.data=oo_.endo_simul(options_.varobs_id,100+1:end); ... ...
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