Commit 28f7c762 authored by Frédéric Karamé's avatar Frédéric Karamé

Add the option of Monte Carlo nonlinear Kalman filter.

parent ee6eaa84
...@@ -89,7 +89,11 @@ end ...@@ -89,7 +89,11 @@ end
% compute gaussian quadrature nodes and weights on states and shocks % 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) ; [nodes,weights] = spherical_radial_sigma_points(number_of_state_variables+number_of_structural_innovations) ;
weights_c = weights ; weights_c = weights ;
elseif ParticleOptions.proposal_approximation.unscented elseif ParticleOptions.proposal_approximation.unscented
......
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