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Commit 1ae80da4 authored by Johannes Pfeifer's avatar Johannes Pfeifer Committed by Sébastien Villemot
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Fix bug in imcforecast.m where covariance matrix was decomposed element-wise...

Fix bug in imcforecast.m where covariance matrix was decomposed element-wise instead of via Cholesky.

(cherry picked from commit 04554967)
parent 7877f195
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......@@ -147,7 +147,7 @@ if isempty(options_.qz_criterium)
end
[T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
sQ = sqrt(M_.Sigma_e);
sQ = chol(M_.Sigma_e,'lower');
NumberOfStates = length(InitState);
FORCS1 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
......
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