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Commit a52b96da authored by Dóra Kocsis's avatar Dóra Kocsis
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add missing estimation options: nonlinear_filter_initialization, cpf_weights,...

add missing estimation options:  nonlinear_filter_initialization, cpf_weights, smoothed_state_uncertainty
parent 1c01834d
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......@@ -80,6 +80,9 @@ switch name
case 'no_posterior_kernel_density'
mapping = 'estimation.moments_posterior_density.indicator';
case 'nonlinear_filter_initialization'
mapping = 'nonlinear_filter';
case 'number_of_particles'
mapping = 'particle.number_of_particles';
......
......@@ -410,6 +410,12 @@ dynare_gui_.estimation.filter{num,2} = '1';
dynare_gui_.estimation.filter{num,3} = 'INTEGER';
dynare_gui_.estimation.filter{num,4} = 'Decide whether Dynare should automatically switch to univariate filter if a singularity is encountered in the likelihood computation (this is the behaviour if the option is equal to 1). Alternatively, if the option is equal to 0, Dynare will not automatically change the filter, but rather use a penalty value for the likelihood when such a singularity is encountered. Default: 1.';
num = num+1;
dynare_gui_.estimation.filter{num,1} = 'smoothed_state_uncertainty';
dynare_gui_.estimation.filter{num,2} = 0;
dynare_gui_.estimation.filter{num,3} = 'check_option';
dynare_gui_.estimation.filter{num,4} = 'Triggers the computation of the variance of smoothed estimates, i.e. varT(yt).';
num = num+1;
dynare_gui_.estimation.filter{num,1} = 'diffuse_filter';
dynare_gui_.estimation.filter{num,2} = 0;
......@@ -540,7 +546,17 @@ dynare_gui_.estimation.postprocessing{num,2} = 'unscented';
dynare_gui_.estimation.postprocessing{num,3} = {'unscented','cubature','montecarlo'};
dynare_gui_.estimation.postprocessing{num,4} = 'Sets the method for approximating the particle distribution. Possible values for OPTION are: cubature, montecarlo and unscented. Default value is unscented.';
num = num+1;
dynare_gui_.estimation.postprocessing{num,1} = 'cpf_weights';
dynare_gui_.estimation.postprocessing{num,2} = 'amisanotristani';
dynare_gui_.estimation.postprocessing{num,3} = {'amisanotristani','murrayjonesparslow'};
dynare_gui_.estimation.postprocessing{num,4} = 'Controls the method used to update the weights in conditional particle filter, possible values are amisanotristani (Amisano et al. (2010)) or murrayjonesparslow (Murray et al. (2013)).';
num = num+1;
dynare_gui_.estimation.postprocessing{num,1} = 'nonlinear_filter_initialization';
dynare_gui_.estimation.postprocessing{num,2} = '1';
dynare_gui_.estimation.postprocessing{num,3} = 'INTEGER';
dynare_gui_.estimation.postprocessing{num,4} = 'Sets the initial condition of the nonlinear filters. By default the nonlinear filters are initialized with the unconditional covariance matrix of the state variables, computed with the reduced form solution of the first order approximation of the model.';
%% Group 7: Particle filter
num = 1;
......
......@@ -180,6 +180,12 @@ try
options_.particle.proposal_approximation.montecarlo = true;
end
case 'cpf_weights'
if value == 2
options_.particle.cpf_weights_method.amisanotristani = false;
options_.particle.cpf_weights_method.murrayjonesparslow = true;
end
case 'posterior_nograph'
options_.no_graph.posterior = logical(value);
......
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