v4 adding test for kalman filter and smoother

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1184 ac1d8469-bf42-47a9-8791-bf33cf982152

tests/kalman_filter_smoother/testsmoother.m

+load test
+% $$$ Y = Y(1:2,:);
+% $$$ mf = mf(1:2);
+% $$$ H=H(1:2,1:2);
+% $$$ pp = pp-1;
+% $$$ trend =trend(1:2,:);
+Pinf1(1,1) = 1;
+Pstar1(1,1) = 0;
+Pstar1(4,1) = 0;
+Pstar1(1,4) = 0;
+[alphahat1,epsilonhat1,etahat1,a11, aK1] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q,H, ...
+						  Pinf1,Pstar1,Y,trend, ...
+						  pp,mm,smpl,mf);
+max(max(abs(alphahat1-alphahat2)))
+max(max(abs(epsilonhat1-epsilonhat2)))
+max(max(abs(etahat1-etahat2)))
+max(max(abs(a11-a12)))
+max(max(abs(aK1-aK2)))
+
+return
+[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+
+max(max(abs(alphahat1-alphahat2)))
+max(max(abs(etahat1-etahat2)))
+max(max(abs(a11-a12)))
+%max(max(abs(aK1-aK2)))
+
+
+H = zeros(size(H));
+[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
+						  Pinf1,Pstar1,Y,trend, ...
+						  pp,mm,smpl,mf);
+max(max(abs(alphahat1-alphahat2)))
+max(max(abs(etahat1-etahat2)))
+max(max(abs(a11-a12)))
+%max(max(abs(aK1-aK2)))
+
+
+[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother3(T,R,Q, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q, H, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+
+max(max(abs(alphahat1-alphahat2)))
+max(max(abs(etahat1-etahat2)))
+max(max(abs(a11-a12)))
+%max(max(abs(aK1-aK2)))