From cbc0cdfef838b58f17c9a564a27b0bc7c302a6ec Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 12 Jan 2018 21:32:59 +0100
Subject: [PATCH] Fix bug in multivariate Kalman smoother when observations are
missing
The singularity branch did not correctly account for the switching number of observables
---
matlab/missing_DiffuseKalmanSmootherH1_Z.m | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
diff --git a/matlab/missing_DiffuseKalmanSmootherH1_Z.m b/matlab/missing_DiffuseKalmanSmootherH1_Z.m
index 5ba614f94..0552da20b 100644
--- a/matlab/missing_DiffuseKalmanSmootherH1_Z.m
+++ b/matlab/missing_DiffuseKalmanSmootherH1_Z.m
@@ -49,7 +49,7 @@ function [alphahat,epsilonhat,etahat,atilde,P,aK,PK,decomp,V] = missing_DiffuseK
% Durbin/Koopman (2012): "Time Series Analysis by State Space Methods", Oxford University Press,
% Second Edition, Ch. 5
-% Copyright (C) 2004-2017 Dynare Team
+% Copyright (C) 2004-2018 Dynare Team
%
% This file is part of Dynare.
%
@@ -134,9 +134,9 @@ while rank(Pinf(:,:,t+1),diffuse_kalman_tol) && t<smpl
return
else %rank of F_{\infty,t} is 0
Finf_singular(1,t) = 1;
- Fstar(:,:,t) = ZZ*Pstar(:,:,t)*ZZ' + H(di,di); % (5.7) in DK (2012)
- if rcond(Fstar(:,:,t)) < kalman_tol %F_{*} is singular
- if ~all(abs(Fstar(:,:,t))<kalman_tol)
+ Fstar(di,di,t) = ZZ*Pstar(:,:,t)*ZZ' + H(di,di); % (5.7) in DK (2012)
+ if rcond(Fstar(di,di,t)) < kalman_tol %F_{*} is singular
+ if ~all(all(abs(Fstar(di,di,t))<kalman_tol))
% The univariate diffuse kalman filter should be used.
alphahat = Inf;
return
@@ -146,12 +146,12 @@ while rank(Pinf(:,:,t+1),diffuse_kalman_tol) && t<smpl
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
end
else
- iFstar(:,:,t) = inv(Fstar(:,:,t));
- Kstar(:,:,t) = Pstar(:,:,t)*ZZ'*iFstar(:,:,t); %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
+ iFstar(di,di,t) = inv(Fstar(di,di,t));
+ Kstar(:,di,t) = Pstar(:,:,t)*ZZ'*iFstar(di,di,t); %(5.15) of DK (2012) with Kstar=T^{-1}*K^(0)
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); % DK (2012), 5.16
Lstar(:,:,t) = T - T*Kstar(:,di,t)*ZZ; %L^(0) in DK (2012), eq. 5.12
Pstar(:,:,t+1) = T*Pstar(:,:,t)*Lstar(:,:,t)'+QQ; % (5.17) DK (2012)
- a(:,t+1) = T*(a(:,t)+Kstar(:,:,t)*v(:,t)); % (5.13) DK (2012)
+ a(:,t+1) = T*(a(:,t)+Kstar(:,di,t)*v(di,t)); % (5.13) DK (2012)
end
end
else
--
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