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DynareJulia
KalmanFilterTools.jl
Commits
49657d07
Commit
49657d07
authored
Dec 01, 2019
by
MichelJuillard
Browse files
fix timing on space state representation
parent
65c1f3a8
Changes
1
Show whitespace changes
Inline
Side-by-side
src/KalmanFilterTools.jl
View file @
49657d07
...
...
@@ -5,7 +5,7 @@ include("kalman_base.jl")
"""
State space specification:
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(eta_t eta_t') = Q
"""
...
...
@@ -914,6 +914,8 @@ function kalman_filter!(Y::AbstractArray{U},
update_P!
(
vP1
,
vT
,
ws
.
QQ
,
vK
,
vZP
,
ws
.
PTmp
)
ws
.
oldP
.-=
vP
if
norm
(
ws
.
oldP
)
<
ns
*
eps
()
println
(
norm
(
ws
.
oldP
))
println
(
t
)
steady
=
true
else
copy!
(
ws
.
oldP
,
vP
)
...
...
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