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DynareJulia
KalmanFilterTools.jl
Commits
0edf10f0
Commit
0edf10f0
authored
Jun 01, 2020
by
Michel Juillard
Browse files
change tmp_ny+np into tmp_ny_ns
parent
fec96b51
Changes
1
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Inline
Side-by-side
src/KalmanFilterTools.jl
View file @
0edf10f0
...
...
@@ -1001,7 +1001,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
tmp_ny
::
Vector
{
T
}
tmp_ns_np
::
AbstractArray
{
T
}
tmp_ny_ny
::
AbstractArray
{
T
}
tmp_ny_n
p
::
AbstractArray
{
T
}
tmp_ny_n
s
::
AbstractArray
{
T
}
kalman_tol
::
T
function
KalmanSmootherWs
{
T
,
U
}(
ny
::
U
,
ns
::
U
,
np
::
U
,
nobs
::
U
)
where
{
T
<:
AbstractFloat
,
U
<:
Integer
}
...
...
@@ -1044,13 +1044,13 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
tmp_ny
=
Vector
{
T
}(
undef
,
ny
)
tmp_ns_np
=
Matrix
{
T
}(
undef
,
ns
,
np
)
tmp_ny_ny
=
Matrix
{
T
}(
undef
,
ny
,
ny
)
tmp_ny_n
p
=
Matrix
{
T
}(
undef
,
ny
,
n
p
)
tmp_ny_n
s
=
Matrix
{
T
}(
undef
,
ny
,
n
s
)
kalman_tol
=
1e-12
new
(
csmall
,
Zsmall
,
iZsmall
,
RQ
,
QQ
,
v
,
F
,
cholF
,
cholH
,
iF
,
iFv
,
a1
,
r
,
r1
,
at_t
,
K
,
KDK
,
L
,
L1
,
N
,
N1
,
ZP
,
Pt_t
,
Kv
,
iFZ
,
PTmp
,
oldP
,
lik
,
KT
,
D
,
ystar
,
Zstar
,
Hstar
,
PZi
,
tmp_np
,
tmp_ns
,
tmp_ny
,
tmp_ns_np
,
tmp_ny_ny
,
tmp_ny_n
p
,
tmp_np
,
tmp_ns
,
tmp_ny
,
tmp_ns_np
,
tmp_ny_ny
,
tmp_ny_n
s
,
kalman_tol
)
end
end
...
...
@@ -1250,7 +1250,7 @@ function kalman_smoother!(Y::AbstractArray{U},
if
length
(
Vepsilon
)
>
0
vVepsilon
=
view
(
Vepsilon
,
:
,
:
,
t
)
# D_t = inv(F_t) + KDK_t'*N_t*KDK_t (DK 4.69)
get_D!
(
ws
.
D
,
viF
,
vKDK
,
ws
.
N1
,
ws
.
tmp_ny_n
p
)
get_D!
(
ws
.
D
,
viF
,
vKDK
,
ws
.
N1
,
ws
.
tmp_ny_n
s
)
# Vepsilon_t = H - H*D_t*H (DK 4.69)
get_Vepsilon!
(
vVepsilon
,
vH
,
ws
.
D
,
ws
.
tmp_ny_ny
)
end
...
...
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