From f12e8a3754957a18c380e4096371aa63e4cdeee6 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Thu, 8 Mar 2012 16:36:31 +0100
Subject: [PATCH] Force the weights to sum up to one, and not to the number of
particles as in WK (Econometrica 2010).
---
matlab/particle/sequential_importance_particle_filter.m | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
diff --git a/matlab/particle/sequential_importance_particle_filter.m b/matlab/particle/sequential_importance_particle_filter.m
index cbf675237..a38363243 100644
--- a/matlab/particle/sequential_importance_particle_filter.m
+++ b/matlab/particle/sequential_importance_particle_filter.m
@@ -115,7 +115,7 @@ lik = NaN(sample_size,1);
% Initialization of the weights across particles.
nb_obs_resamp = 0 ;
-weights = ones(1,number_of_particles) ;
+weights = ones(1,number_of_particles)/number_of_particles ;
StateVectors = bsxfun(@plus,StateVectorVarianceSquareRoot*randn(state_variance_rank,number_of_particles),StateVectorMean);
for t=1:sample_size
yhat = bsxfun(@minus,StateVectors,state_variables_steady_state);
@@ -134,10 +134,9 @@ for t=1:sample_size
if (Neff<.5*sample_size && strcmpi(DynareOptions.particle.resampling.status,'generic')) || strcmpi(DynareOptions.particle.resampling.status,'systematic')
nb_obs_resamp = nb_obs_resamp+1 ;
StateVectors = tmp(mf0,resample(weights,DynareOptions.particle.resampling.method1,DynareOptions.particle.resampling.method2));
- weights = ones(1,number_of_particles) ;
+ weights = ones(1,number_of_particles)/number_of_particles ;
elseif strcmpi(DynareOptions.particle_filter.resampling.status,'none')
StateVectors = tmp(mf0,:);
- weights = number_of_particles*weights;
end
end
--
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