gaussian_filter_bank.m 6.51 KB
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function [PredictedStateMean,PredictedStateVarianceSquareRoot,StateVectorMean,StateVectorVarianceSquareRoot] = gaussian_filter_bank(ReducedForm,obs,StateVectorMean,StateVectorVarianceSquareRoot,Q_lower_triangular_cholesky,H_lower_triangular_cholesky,H,ParticleOptions,ThreadsOptions)
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%
% Computes the proposal with a gaussian approximation for importance
% sampling
% This proposal is a gaussian distribution calculated à la Kalman
%
% INPUTS
%    reduced_form_model     [structure] Matlab's structure describing the reduced form model.
%                                       reduced_form_model.measurement.H   [double]   (pp x pp) variance matrix of measurement errors.
%                                       reduced_form_model.state.Q         [double]   (qq x qq) variance matrix of state errors.
%                                       reduced_form_model.state.dr        [structure] output of resol.m.
%    Y                      [double]    pp*smpl matrix of (detrended) data, where pp is the maximum number of observed variables.
%
% OUTPUTS
%    LIK        [double]    scalar, likelihood
%    lik        [double]    vector, density of observations in each period.
%
% REFERENCES
%
% NOTES
%   The vector "lik" is used to evaluate the jacobian of the likelihood.
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% Copyright (C) 2009-2017 Dynare Team
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%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

persistent init_flag2 mf0 mf1
persistent number_of_state_variables number_of_observed_variables
persistent number_of_structural_innovations

% Set local state space model (first-order approximation).
ghx  = ReducedForm.ghx;
ghu  = ReducedForm.ghu;
% Set local state space model (second-order approximation).
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;

if any(any(isnan(ghx))) || any(any(isnan(ghu))) || any(any(isnan(ghxx))) || any(any(isnan(ghuu))) || any(any(isnan(ghxu))) || ...
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        any(any(isinf(ghx))) || any(any(isinf(ghu))) || any(any(isinf(ghxx))) || any(any(isinf(ghuu))) || any(any(isinf(ghxu))) ...
        any(any(abs(ghx)>1e4)) || any(any(abs(ghu)>1e4)) || any(any(abs(ghxx)>1e4)) || any(any(abs(ghuu)>1e4)) || any(any(abs(ghxu)>1e4))
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    ghx
    ghu
    ghxx
    ghuu
    ghxu
end

constant = ReducedForm.constant;
state_variables_steady_state = ReducedForm.state_variables_steady_state;

% Set persistent variables.
if isempty(init_flag2)
    mf0 = ReducedForm.mf0;
    mf1 = ReducedForm.mf1;
    number_of_state_variables = length(mf0);
    number_of_observed_variables = length(mf1);
    number_of_structural_innovations = length(ReducedForm.Q);
    init_flag2 = 1;
end

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if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo
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    [nodes,weights] = spherical_radial_sigma_points(number_of_state_variables+number_of_structural_innovations) ;
    weights_c = weights ;
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elseif ParticleOptions.proposal_approximation.unscented
    [nodes,weights,weights_c] = unscented_sigma_points(number_of_state_variables+number_of_structural_innovations,ParticleOptions);
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else
    error('Estimation: This approximation for the proposal is not implemented or unknown!')
end

xbar = [StateVectorMean ; zeros(number_of_structural_innovations,1) ] ;
sqr_Px = [ [ StateVectorVarianceSquareRoot zeros(number_of_state_variables,number_of_structural_innovations) ] ;
           [ zeros(number_of_structural_innovations,number_of_state_variables) Q_lower_triangular_cholesky ] ];
sigma_points = bsxfun(@plus,xbar,sqr_Px*(nodes'));
StateVectors = sigma_points(1:number_of_state_variables,:);
epsilon = sigma_points(number_of_state_variables+1:number_of_state_variables+number_of_structural_innovations,:);
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
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tmp = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,ThreadsOptions.local_state_space_iteration_2);
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PredictedStateMean = tmp(mf0,:)*weights ;
PredictedObservedMean = tmp(mf1,:)*weights;

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if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo
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    PredictedStateMean = sum(PredictedStateMean,2);
    PredictedObservedMean = sum(PredictedObservedMean,2);
    dState = bsxfun(@minus,tmp(mf0,:),PredictedStateMean)'.*sqrt(weights);
    dObserved = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean)'.*sqrt(weights);
    PredictedStateVarianceSquareRoot = chol(dState'*dState)';
    big_mat = [dObserved  dState ; [H_lower_triangular_cholesky zeros(number_of_observed_variables,number_of_state_variables)] ];
    [mat1,mat] = qr2(big_mat,0);
    mat = mat';
    clear('mat1');
    PredictedObservedVarianceSquareRoot = mat(1:number_of_observed_variables,1:number_of_observed_variables);
    CovarianceObservedStateSquareRoot = mat(number_of_observed_variables+(1:number_of_state_variables),1:number_of_observed_variables);
    StateVectorVarianceSquareRoot = mat(number_of_observed_variables+(1:number_of_state_variables),number_of_observed_variables+(1:number_of_state_variables));
    PredictionError = obs - PredictedObservedMean;
    StateVectorMean = PredictedStateMean + (CovarianceObservedStateSquareRoot/PredictedObservedVarianceSquareRoot)*PredictionError;
else
    dState = bsxfun(@minus,tmp(mf0,:),PredictedStateMean);
    dObserved = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
    PredictedStateVariance = dState*diag(weights_c)*dState';
    PredictedObservedVariance = dObserved*diag(weights_c)*dObserved' + H;
    PredictedStateAndObservedCovariance = dState*diag(weights_c)*dObserved';
    PredictedStateVarianceSquareRoot = chol(PredictedStateVariance)';
    PredictionError = obs - PredictedObservedMean;
    KalmanFilterGain = PredictedStateAndObservedCovariance/PredictedObservedVariance;
    StateVectorMean = PredictedStateMean + KalmanFilterGain*PredictionError;
    StateVectorVariance = PredictedStateVariance - KalmanFilterGain*PredictedObservedVariance*KalmanFilterGain';
    StateVectorVariance = .5*(StateVectorVariance+StateVectorVariance');
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    StateVectorVarianceSquareRoot = chol(StateVectorVariance)'; %reduced_rank_cholesky(StateVectorVariance)';
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end