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Dynare
dynare
Commits
dd7ce51c
Verified
Commit
dd7ce51c
authored
5 months ago
by
Frédéric Karamé
Committed by
Sébastien Villemot
5 months ago
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Correction of the header.
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3324a8bf
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!2323
Make compatible the outputs of the online particle filter with the Dynare...
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matlab/estimation/online/online_auxiliary_filter.m
+2
-10
2 additions, 10 deletions
matlab/estimation/online/online_auxiliary_filter.m
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matlab/estimation/online/online_auxiliary_filter.m
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dd7ce51c
%function [xparam,mean_xparam,median_xparam,lb95_xparam,ub95_xparam] =
function
online_auxiliary_filter
(
xparam1
,
dataset_
,
options_
,
M_
,
estim_params_
,
bayestopt_
,
oo_
)
%
[pmean, pmode, pmedian, pstdev, p025, p975, covariance] =
online_auxiliary_filter(xparam1, dataset_, options_, M_, estim_params_, bayestopt_, oo_)
% online_auxiliary_filter(xparam1, dataset_, options_, M_, estim_params_, bayestopt_, oo_)
% Liu & West particle filter = auxiliary particle filter including Liu & West filter on parameters.
%
% INPUTS
...
...
@@ -13,14 +12,7 @@ function online_auxiliary_filter(xparam1, dataset_, options_, M_, estim_params_,
% - bayestopt_ [struct] Prior definition.
% - oo_ [struct] Results.
%
% OUTPUTS
% - xparam [double] n×M matrix, parameters particles at the end of the sample (posterior approx.).
% - mean_xparam [double] n×T matrix, time series of the parameters particles mean.
% - median_xparam [double] n×T matrix, time series of the parameters particles median.
% - lb95_xparam [double] n×T matrix, time series of 2.5 percent of the particles are below p025(i) for i=1,…,n.
% - ub95_xparam [double] n×T matrix, time series of 97.5 percent of the particles are below p975(i) for i=1,…,n.
%
% Copyright © 2013-2023 Dynare Team
% Copyright © 2013-2024 Dynare Team
%
% This file is part of Dynare.
%
...
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