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DynareJulia
KalmanFilterTools.jl
Commits
1b1f7f33
Commit
1b1f7f33
authored
Jun 01, 2020
by
Michel Juillard
Browse files
adding PZi to some workspaces
parent
d1b98e15
Changes
1
Hide whitespace changes
Inline
Side-by-side
src/KalmanFilterTools.jl
View file @
1b1f7f33
...
...
@@ -399,6 +399,7 @@ struct FastKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar
::
Vector
{
T
}
Zstar
::
Matrix
{
T
}
Hstar
::
Matrix
{
T
}
PZi
::
Vector
{
T
}
lik
::
Vector
{
T
}
kalman_tol
::
T
...
...
@@ -427,10 +428,11 @@ struct FastKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar
=
Vector
{
T
}(
undef
,
ny
)
Zstar
=
Matrix
{
T
}(
undef
,
ny
,
ns
)
Hstar
=
Matrix
{
T
}(
undef
,
ny
,
ny
)
PZi
=
Vector
{
T
}(
undef
,
ns
)
lik
=
Vector
{
T
}(
undef
,
nobs
)
kalman_tol
=
1e-12
new
(
csmall
,
Zsmall
,
iZsmall
,
QQ
,
v
,
F
,
cholF
,
iFv
,
a1
,
K
,
RQ
,
ZP
,
M
,
W
,
ZW
,
ZWM
,
iFZWM
,
TW
,
iFZW
,
KtiFZW
,
ystar
,
Ztar
,
Hstar
,
lik
,
kalman_tol
)
ZW
,
ZWM
,
iFZWM
,
TW
,
iFZW
,
KtiFZW
,
ystar
,
Ztar
,
Hstar
,
PZi
,
lik
,
kalman_tol
)
end
end
...
...
@@ -596,6 +598,7 @@ struct DiffuseKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar
::
Vector
{
T
}
Zstar
::
Matrix
{
T
}
Hstar
::
Matrix
{
T
}
PZi
::
Vector
{
T
}
lik
::
Vector
{
T
}
kalman_tol
::
T
function
DiffuseKalmanLikelihoodWs
{
T
,
U
}(
ny
::
U
,
ns
::
U
,
np
::
U
,
nobs
::
U
)
where
{
T
<:
AbstractFloat
,
U
<:
Integer
}
...
...
@@ -623,11 +626,12 @@ struct DiffuseKalmanLikelihoodWs{T, U} <: KalmanWs{T, U}
ystar
=
Vector
{
T
}(
undef
,
ny
)
Zstar
=
Matrix
{
T
}(
undef
,
ny
,
ns
)
Hstar
=
Matrix
{
T
}(
undef
,
ny
,
ny
)
PZi
=
Vector
{
T
}(
undef
,
ns
)
lik
=
zeros
(
T
,
nobs
)
kalman_tol
=
1e-12
new
(
csmall
,
Zsmall
,
iZsmall
,
QQ
,
RQ
,
v
,
F
,
iF
,
iFv
,
a1
,
cholF
,
ZP
,
Fstar
,
ZPstar
,
K
,
iFZ
,
Kstar
,
PTmp
,
uKinf
,
uKstar
,
Kinf_Finf
,
ystar
,
Zstar
,
Hstar
,
lik
,
kalman_tol
)
PZI
,
lik
,
kalman_tol
)
end
end
...
...
@@ -990,6 +994,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
ystar
::
Vector
{
T
}
Zstar
::
Matrix
{
T
}
Hstar
::
Matrix
{
T
}
PZi
::
Vector
{
T
}
tmp_np
::
Vector
{
T
}
tmp_ns
::
Vector
{
T
}
tmp_ny
::
Vector
{
T
}
...
...
@@ -1030,6 +1035,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
ystar
=
Vector
{
T
}(
undef
,
ny
)
Zstar
=
Matrix
{
T
}(
undef
,
ny
,
ns
)
Hstar
=
Matrix
{
T
}(
undef
,
ny
,
ny
)
PZi
=
Vector
{
T
}(
undef
,
ns
)
tmp_np
=
Vector
{
T
}(
undef
,
np
)
tmp_ns
=
Vector
{
T
}(
undef
,
ns
)
tmp_ny
=
Vector
{
T
}(
undef
,
ny
)
...
...
@@ -1039,8 +1045,8 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
new
(
csmall
,
Zsmall
,
iZsmall
,
RQ
,
QQ
,
v
,
F
,
cholF
,
cholH
,
iF
,
iFv
,
r
,
r1
,
at_t
,
K
,
KDK
,
L
,
L1
,
N
,
N1
,
ZP
,
Pt_t
,
Kv
,
iFZ
,
PTmp
,
oldP
,
lik
,
KT
,
D
,
ystar
,
Zstar
,
Hstar
,
tmp_np
,
tmp_ns
,
tmp_ny
,
tmp_ns_np
,
tmp_ny_ny
,
kalman_tol
)
iFZ
,
PTmp
,
oldP
,
lik
,
KT
,
D
,
ystar
,
Zstar
,
Hstar
,
PZi
,
tmp_np
,
tmp_ns
,
tmp_ny
,
tmp_ns_np
,
tmp_ny_ny
,
kalman_tol
)
end
end
...
...
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