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Frédéric Karamé
dynare
Commits
46b44cd4
Commit
46b44cd4
authored
8 years ago
by
Johannes Pfeifer
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missing_DiffuseKalmanSmootherH3_Z.m: Fix typo in formula that makes tests fail
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89e0a843
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matlab/missing_DiffuseKalmanSmootherH3_Z.m
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matlab/missing_DiffuseKalmanSmootherH3_Z.m
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46b44cd4
...
...
@@ -311,7 +311,7 @@ if d
N_0
(:,:,
t
)
=
Linf
'*
N_0
(:,:,
t
)
*
Linf
;
% DK (2012), eq. 5.19, noting that L^(0) is named Linf
end
elseif
Fstar
(
i
,
t
)
>
kalman_tol
% step needed whe Finf == 0
L_i
=
eye
(
mm
)
-
Kstar
(:,
i
,
t
)
*
Z
(
i
,:)
*
Fstar
(
i
,
t
);
L_i
=
eye
(
mm
)
-
Kstar
(:,
i
,
t
)
*
Z
(
i
,:)
/
Fstar
(
i
,
t
);
r0
(:,
t
)
=
Z
(
i
,:)
'/Fstar(i,t)*v(i,t)+L_i'
*
r0
(:,
t
);
% propagate r0 and keep r1 fixed
if
state_uncertainty_flag
N_0
(:,:,
t
)
=
Z
(
i
,:)
'/Fstar(i,t)*Z(i,:)+L_i'
*
N_0
(:,:,
t
)
*
L_i
;
% propagate N_0 and keep N_1 and N_2 fixed
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