From 1755192e639cae39ecfa35645dbe5c02024c219c Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 31 Mar 2017 16:08:16 +0200
Subject: [PATCH] Make 792924 consistent with cases where Pinf is an empty
matrix
Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
---
matlab/DsgeSmoother.m | 4 +++-
matlab/missing_DiffuseKalmanSmootherH3_Z.m | 18 +++++++++++++++---
2 files changed, 18 insertions(+), 4 deletions(-)
diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m
index f9e459e004..08b7011e93 100644
--- a/matlab/DsgeSmoother.m
+++ b/matlab/DsgeSmoother.m
@@ -255,7 +255,9 @@ if kalman_algo == 2 || kalman_algo == 4
[Pstar,Pinf] = compute_Pinf_Pstar(mf,ST,R1,Q,options_.qz_criterium);
else
Pstar = blkdiag(Pstar,H);
- Pinf = blkdiag(Pinf,zeros(vobs));
+ if ~isempty(Pinf)
+ Pinf = blkdiag(Pinf,zeros(vobs));
+ end
end
%now reset H to 0
H = zeros(vobs,vobs);
diff --git a/matlab/missing_DiffuseKalmanSmootherH3_Z.m b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
index 24e6841cf9..b03b13ee0e 100644
--- a/matlab/missing_DiffuseKalmanSmootherH3_Z.m
+++ b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
@@ -122,7 +122,11 @@ end
t = 0;
icc=0;
-newRank = rank(Z*Pinf(:,:,1)*Z',diffuse_kalman_tol);
+if ~isempty(Pinf(:,:,1))
+ newRank = rank(Z*Pinf(:,:,1)*Z',diffuse_kalman_tol);
+else
+ newRank = rank(Pinf(:,:,1),diffuse_kalman_tol);
+end
while newRank && t < smpl
t = t+1;
a(:,t) = a1(:,t);
@@ -156,7 +160,11 @@ while newRank && t < smpl
end
end
if newRank
- oldRank = rank(Z*Pinf(:,:,t)*Z',diffuse_kalman_tol);
+ if ~isempty(Pinf(:,:,t))
+ oldRank = rank(Z*Pinf(:,:,t)*Z',diffuse_kalman_tol);
+ else
+ oldRank = rank(Pinf(:,:,t),diffuse_kalman_tol);
+ end
else
oldRank = 0;
end
@@ -168,7 +176,11 @@ while newRank && t < smpl
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';
if newRank
- newRank = rank(Z*Pinf(:,:,t+1)*Z',diffuse_kalman_tol);
+ if ~isempty(Pinf(:,:,t+1))
+ newRank = rank(Z*Pinf(:,:,t+1)*Z',diffuse_kalman_tol);
+ else
+ newRank = rank(Pinf(:,:,t+1),diffuse_kalman_tol);
+ end
end
if oldRank ~= newRank
disp('univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!')
--
GitLab