gaussian_mixture_filter_bank.m 7.14 KB
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function [StateMuPrior,StateSqrtPPrior,StateWeightsPrior,StateMuPost,StateSqrtPPost,StateWeightsPost] =...
                gaussian_mixture_filter_bank(ReducedForm,obs,StateMu,StateSqrtP,StateWeights,...
                                                                StructuralShocksMu,StructuralShocksSqrtP,StructuralShocksWeights,...
                                                                ObservationShocksMu,ObservationShocksSqrtP,ObservationShocksWeights,...
                                                                H,H_lower_triangular_cholesky,normfactO,DynareOptions) 
%
% 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.
% Copyright (C) 2009-2012 Dynare Team
%
% 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 %nodes3 weights3 weights_c3
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))) || ...
    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))
    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

numb = number_of_state_variables+number_of_structural_innovations ;

if DynareOptions.particle.proposal_approximation.cubature
    [nodes3,weights3] = spherical_radial_sigma_points(numb);
    weights_c3 = weights3;
elseif DynareOptions.particle.proposal_approximation.unscented
    [nodes3,weights3,weights_c3] = unscented_sigma_points(numb,DynareOptions);
else
    error('Estimation: This approximation for the proposal is not implemented or unknown!')
end

epsilon =  bsxfun(@plus,StructuralShocksSqrtP*nodes3(:,number_of_state_variables+1:number_of_state_variables+number_of_structural_innovations)',StructuralShocksMu) ;
StateVectors = bsxfun(@plus,StateSqrtP*nodes3(:,1:number_of_state_variables)',StateMu);
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
tmp = local_state_space_iteration_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,DynareOptions.threads.local_state_space_iteration_2);
PredictedStateMean = tmp(mf0,:)*weights3;
PredictedObservedMean = tmp(mf1,:)*weights3;

if DynareOptions.particle.proposal_approximation.cubature
    PredictedStateMean = sum(PredictedStateMean,2);
    PredictedObservedMean = sum(PredictedObservedMean,2);
    dState = (bsxfun(@minus,tmp(mf0,:),PredictedStateMean)').*sqrt(weights3);
    dObserved = (bsxfun(@minus,tmp(mf1,:),PredictedObservedMean)').*sqrt(weights3);
    PredictedStateVariance = 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));
    iPredictedObservedVarianceSquareRoot = inv(PredictedObservedVarianceSquareRoot);
    iPredictedObservedVariance = iPredictedObservedVarianceSquareRoot'*iPredictedObservedVarianceSquareRoot;
    sqrdet = 1/sqrt(det(iPredictedObservedVariance));
    PredictionError = obs - PredictedObservedMean;
    StateVectorMean = PredictedStateMean + CovarianceObservedStateSquareRoot*iPredictedObservedVarianceSquareRoot*PredictionError;
else
    dState = bsxfun(@minus,tmp(mf0,:),PredictedStateMean);
    dObserved = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
    PredictedStateVariance = dState*diag(weights_c3)*dState';
    PredictedObservedVariance = dObserved*diag(weights_c3)*dObserved' + H;
    PredictedStateAndObservedCovariance = dState*diag(weights_c3)*dObserved';
    sqrdet = sqrt(det(PredictedObservedVariance)) ;
    iPredictedObservedVariance = inv(PredictedObservedVariance);
    PredictionError = obs - PredictedObservedMean;
    KalmanFilterGain = PredictedStateAndObservedCovariance*iPredictedObservedVariance;
    StateVectorMean = PredictedStateMean + KalmanFilterGain*PredictionError;
    StateVectorVariance = PredictedStateVariance - KalmanFilterGain*PredictedObservedVariance*KalmanFilterGain';
    StateVectorVariance = .5*(StateVectorVariance+StateVectorVariance');
    StateVectorVarianceSquareRoot = reduced_rank_cholesky(StateVectorVariance)';
end

data_lik_GM_g = exp(-0.5*PredictionError'*iPredictedObservedVariance*PredictionError)/abs(normfactO*sqrdet) + 1e-99;
StateMuPrior = PredictedStateMean ;
StateSqrtPPrior = reduced_rank_cholesky(PredictedStateVariance)';
StateWeightsPrior = StateWeights*StructuralShocksWeights;
StateMuPost = StateVectorMean;
StateSqrtPPost = StateVectorVarianceSquareRoot;
StateWeightsPost = StateWeightsPrior*ObservationShocksWeights*data_lik_GM_g ;