Commit b6c72f18 authored by Frédéric Karamé's avatar Frédéric Karamé
Browse files

-add a variable to make a difference between gaussian approximations during...

-add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
parent 63509621
......@@ -200,7 +200,7 @@ options_.bnlms = bnlms;
particle.status = 0;
% How do we initialize the states?
particle.initialization = 1;
particle.initial_state_prior_std = .0001;
particle.initial_state_prior_std = .1;
% Set the default order of approximation of the model (perturbation).
particle.perturbation = 2;
% Set the default number of particles.
......@@ -211,12 +211,14 @@ particle.smolyak_accuracy = 3;
particle.pruning = 0;
% Set default algorithm
particle.algorithm = 'sequential_importance_particle_filter';
% Set the Gaussian approximation method
% Set the Gaussian approximation method for Importance sampling
particle.IS_approximation_method = 'unscented';
% Set the Gaussian approximation method for particles distributions
particle.approximation_method = 'unscented';
% Set unscented parameters alpha, beta and kappa for gaussian approximation
particle.unscented.alpha = 1;
particle.unscented.alpha = .01;
particle.unscented.beta = 2;
particle.unscented.kappa = 1;
particle.unscented.kappa = 0;
% Configuration of resampling in case of particles
particle.resampling.status = 'systematic'; % 'none', 'generic', 'smoothed'
particle.resampling.neff_threshold = .5;
......@@ -224,9 +226,9 @@ particle.resampling.neff_threshold = .5;
particle.resampling.method1 = 'traditional' ;
particle.resampling.method2 = 'kitagawa';
% Number of partitions for the smoothed resampling method
DynareOptions.particle.resampling.number_of_partitions = 200;
particle.resampling.number_of_partitions = 200;
% Configuration of the mixture filters
particle.mixture_method = 'particles' ;
%particle.mixture_method = 'particles' ;
% Size of the different mixtures
particle.mixture_state_variables = 5 ;
particle.mixture_structural_shocks = 1 ;
......
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