Commit 49657d07 authored by MichelJuillard's avatar MichelJuillard
Browse files

fix timing on space state representation

parent 65c1f3a8
...@@ -5,7 +5,7 @@ include("kalman_base.jl") ...@@ -5,7 +5,7 @@ include("kalman_base.jl")
""" """
State space specification: State space specification:
y_t = Z*a_t + epsilon_t y_t = Z*a_t + epsilon_t
a_t = T*a_{t-1} + R eta_t a_{t+1} = T*a_t- + R eta_t
E(epsilon_t epsilon_t') = H E(epsilon_t epsilon_t') = H
E(eta_t eta_t') = Q E(eta_t eta_t') = Q
""" """
...@@ -914,6 +914,8 @@ function kalman_filter!(Y::AbstractArray{U}, ...@@ -914,6 +914,8 @@ function kalman_filter!(Y::AbstractArray{U},
update_P!(vP1, vT, ws.QQ, vK, vZP, ws.PTmp) update_P!(vP1, vT, ws.QQ, vK, vZP, ws.PTmp)
ws.oldP .-= vP ws.oldP .-= vP
if norm(ws.oldP) < ns*eps() if norm(ws.oldP) < ns*eps()
println(norm(ws.oldP))
println(t)
steady = true steady = true
else else
copy!(ws.oldP, vP) copy!(ws.oldP, vP)
......
Markdown is supported
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment