Marco Ratto authored 8 years ago and Houtan Bastani committed 8 years ago

Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields

Marco Ratto authored 9 years ago and Houtan Bastani committed 8 years ago

bug fixes on options logic

Marco Ratto authored 9 years ago and Houtan Bastani committed 8 years ago

Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m

Marco Ratto authored 9 years ago and Houtan Bastani committed 8 years ago

Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.

Marco Ratto authored 9 years ago and Houtan Bastani committed 8 years ago

Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.

It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler

It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.

Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with  wrapper to specific iterations in check_posterior_sampler_options.m

Marco Ratto authored 9 years ago and Houtan Bastani committed 8 years ago

Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m

Johannes Pfeifer authored 9 years ago and Houtan Bastani committed 8 years ago

Note that 32bit is not supported anymore

(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)

This reverts commit 6072aa0b.

Johannes Pfeifer authored 9 years ago and Stéphane Adjemian committed 8 years ago

Note that 32bit is not supported anymore

(cherry picked from commit e37b32b01534ffe9a5a5ec3f00f745720b75a83f)

Fix warning message that confused structural shocks with measurement …

discretionary_policy_1.m: keep state space fixed even if state variab…

discretionary_policy_1.m: keep state space fixed even if state variable gets coefficient of 0 in solution by including appropriate 0 column. (Thanks to Junior Maih)

Reverts 3b64c37c

Add diffuse filter statement to nonstationary mod-file to prevent uni…

Improve speed of filtering unit tests and clean up setting of options

Add missing deblank to fieldname setting in shock_decomposition.m

Kalman fixes