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Dynare
particles
Commits
28f7c762
Commit
28f7c762
authored
Jun 08, 2018
by
Frédéric Karamé
1
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Add the option of Monte Carlo nonlinear Kalman filter.
parent
ee6eaa84
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src/nonlinear_kalman_filter.m
src/nonlinear_kalman_filter.m
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src/nonlinear_kalman_filter.m
View file @
28f7c762
...
...
@@ -89,7 +89,11 @@ end
% compute gaussian quadrature nodes and weights on states and shocks
if
ParticleOptions
.
proposal_approximation
.
cubature
||
ParticleOptions
.
proposal_approximation
.
montecarlo
if
ParticleOptions
.
proposal_approximation
.
montecarlo
nodes
=
randn
(
ParticleOptions
.
number_of_particles
,
number_of_state_variables
+
number_of_structural_innovations
)
;
weights
=
1
/
ParticleOptions
.
number_of_particles
;
weights_c
=
weights
;
elseif
ParticleOptions
.
proposal_approximation
.
cubature
[
nodes
,
weights
]
=
spherical_radial_sigma_points
(
number_of_state_variables
+
number_of_structural_innovations
)
;
weights_c
=
weights
;
elseif
ParticleOptions
.
proposal_approximation
.
unscented
...
...
Sébastien Villemot
@sebastien
mentioned in commit
31e853bb
·
Jun 18, 2020
mentioned in commit
31e853bb
mentioned in commit 31e853bb9b810ea7a4becd5b5642f14ca8b0e27a
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