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Dynare
particles
Commits
f187c3d4
Commit
f187c3d4
authored
Dec 12, 2014
by
Stéphane Adjemian
Browse files
Rewrote doc header.
parent
e55f3fd2
Changes
1
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src/sequential_importance_particle_filter.m
View file @
f187c3d4
function
[
LIK
,
lik
]
=
sequential_importance_particle_filter
(
ReducedForm
,
Y
,
start
,
DynareOptions
)
% Evaluates the likelihood of a nonlinear model with a particle filter (optionally with resampling).
%
Standard
Sequential
Monte
Carlo
approach
with
%

the
usual
proposal
(
the
state
transition
distribution
)
%

options
on
resampling
:
none
,
adaptive
or
systematic
%
@info
:
%!
@deftypefn
{
Function
File
}
{
@var
{
y
},
@var
{
y_
}
=
}
sequential_importance_particle_filter
(
@var
{
ReducedForm
},
@var
{
Y
},
@var
{
start
},
@var
{
DynareOptions
})
%!
@anchor
{
particle
/
sequential_importance_particle_filter
}
%!
@sp
1
%!
Evaluates
the
likelihood
of
a
nonlinear
model
with
a
particle
filter
(
optionally
with
resampling
).
%!
%!
@sp
2
%!
@strong
{
Inputs
}
%!
@sp
1
%!
@table
@
@var
%!
@item
ReducedForm
%!
Structure
describing
the
state
space
model
(
built
in
@ref
{
non_linear_dsge_likelihood
}).
%!
@item
Y
%!
p
*
smpl
matrix
of
doubles
(
p
is
the
number
of
observed
variables
),
the
(
detrended
)
data
.
%!
@item
start
%!
Integer
scalar
,
likelihood
evaluation
starts
at
observation
'
start
'
.
%!
@item
DynareOptions
%!
Structure
specifying
Dynare
'
s
options
.
%!
@end
table
%!
@sp
2
%!
@strong
{
Outputs
}
%!
@sp
1
%!
@table
@
@var
%!
@item
LIK
%!
double
scalar
,
value
of
(
minus
)
the
logged
likelihood
.
%!
@item
lik
%!
smpl
*
1
vector
of
doubles
,
density
of
the
observations
at
each
period
.
%!
@end
table
%!
@sp
2
%!
@strong
{
This
function
is
called
by
:
}
%!
@ref
{
non_linear_dsge_likelihood
}
%!
@sp
2
%!
@strong
{
This
function
calls
:
}
%!
%!
@end
deftypefn
%
@eod
:
% Copyright (C) 20112013 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
% 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
,
% Dynare
particles module
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.
...
...
@@ 57,9 +19,6 @@ function [LIK,lik] = sequential_importance_particle_filter(ReducedForm,Y,start,D
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
%
AUTHOR
(
S
)
frederic
DOT
karame
AT
univ
DASH
lemans
DOT
fr
%
stephane
DOT
adjemian
AT
univ
DASH
lemans
DOT
fr
persistent
init_flag
persistent
mf0
mf1
persistent
number_of_particles
number_of_state_variables
...
...
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