Commit f0ef6c93 authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Removed call to gaussian_filter_bank routine in sequantial_importance_particle_filter.

parent 21055da5
...@@ -97,8 +97,8 @@ ghuu = ReducedForm.ghuu; ...@@ -97,8 +97,8 @@ ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu; ghxu = ReducedForm.ghxu;
% Get covariance matrices. % Get covariance matrices.
Q = ReducedForm.Q; Q = ReducedForm.Q; % Covariance matrix of the structural innovations.
H = ReducedForm.H; H = ReducedForm.H; % COvariance matrix of the measurement errors.
if isempty(H) if isempty(H)
H = 0; H = 0;
end end
...@@ -120,8 +120,6 @@ state_variance_rank = size(StateVectorVarianceSquareRoot,2); ...@@ -120,8 +120,6 @@ state_variance_rank = size(StateVectorVarianceSquareRoot,2);
% Factorize the covariance matrix of the structural innovations % Factorize the covariance matrix of the structural innovations
Q_lower_triangular_cholesky = chol(Q)'; Q_lower_triangular_cholesky = chol(Q)';
[PredictedStateMean,PredictedStateVarianceSquareRoot,StateVectorMean,StateVectorVarianceSquareRoot] = ...
gaussian_filter_bank(ReducedForm,Y(:,1),StateVectorMean,StateVectorVarianceSquareRoot,Q_lower_triangular_cholesky,Q_lower_triangular_cholesky,H,DynareOptions) ;
StateVectors = bsxfun(@plus,StateVectorVarianceSquareRoot*randn(state_variance_rank,number_of_particles),StateVectorMean) ; StateVectors = bsxfun(@plus,StateVectorVarianceSquareRoot*randn(state_variance_rank,number_of_particles),StateVectorMean) ;
% Set seed for randn(). % Set seed for randn().
......
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