Commit 21f97c8a authored by Stéphane Adjemian's avatar Stéphane Adjemian
Browse files

Fixed headers.

parent f82afdf8
function [LIK,lik] = auxiliary_particle_filter(ReducedForm,Y,start,DynareOptions) function [LIK,lik] = auxiliary_particle_filter(ReducedForm,Y,start,DynareOptions)
% Evaluates the likelihood of a nonlinear model with a particle filter allowing eventually resampling. % Evaluates the likelihood of a nonlinear model with a particle filter allowing eventually resampling.
%
% INPUTS
% ReducedForm [structure] Matlab's structure describing the reduced form model.
% ReducedForm.measurement.H [double] (pp x pp) variance matrix of measurement errors.
% ReducedForm.state.Q [double] (qq x qq) variance matrix of state errors.
% ReducedForm.state.dr [structure] output of resol.m.
% Y [double] pp*smpl matrix of (detrended) data, where pp is the maximum number of observed variables.
% start [integer] scalar, likelihood evaluation starts at 'start'.
% mf [integer] pp*1 vector of indices.
% number_of_particles [integer] scalar.
%
% 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) 2011-2013 Dynare Team % Copyright (C) 2011-2014 Dynare Team
% %
% This file is part of Dynare. % This file is part of Dynare (particles module).
% %
% Dynare is free software: you can redistribute it and/or modify % Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by % it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or % the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version. % (at your option) any later version.
% %
% Dynare is distributed in the hope that it will be useful, % Dynare particles module is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of % but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details. % GNU General Public License for more details.
% %
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
persistent init_flag mf0 mf1 number_of_particles persistent init_flag mf0 mf1 number_of_particles
persistent sample_size number_of_state_variables number_of_observed_variables number_of_structural_innovations persistent sample_size number_of_state_variables number_of_observed_variables number_of_structural_innovations
......
...@@ -2,7 +2,7 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,P ...@@ -2,7 +2,7 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,P
% Evaluates the likelihood of a nonlinear model with a particle filter (optionally with resampling). % Evaluates the likelihood of a nonlinear model with a particle filter (optionally with resampling).
% Copyright (C) 2011-2013 Dynare Team % Copyright (C) 2011-2014 Dynare Team
% %
% This file is part of Dynare (particles module). % This file is part of Dynare (particles module).
% %
......
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