Verified Commit 38e300b9 authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Merge #1786.

Do not compute cholesky decomposition of H if the matrix has zeros on
the diagonal.
parent ad17b8ec
......@@ -53,12 +53,16 @@ if DynareOptions.order>1
end
if Model.H==0
error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
else
if sum(diag(Model.H)>0)<length(DynareOptions.varobs)
error('initial_estimation_checks:: particle filtering requires as many measurement errors as observed variables')
else
[~,flag]=chol(Model.H);
if flag
error('initial_estimation_checks:: the measurement error matrix must be positive definite')
end
end
end
end
non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);
......
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