diff --git a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m index 925b2bbeb71b9a47ab65a06b3885768e3c0bc5ed..e6024a22f57ff78a072bb1487c5cb227ebb619d5 100644 --- a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m +++ b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m @@ -134,7 +134,7 @@ while t < smpl Zi = Z(i,:); prediction_error = Y(i,t) - Zi*a; Fi = Zi*Pstar*Zi'+H(i); - if Fi > crit + if Fi > kalman_tol Ki = Pstar*Zi'; a = a + Ki*prediction_error/Fi; Pstar = Pstar - Ki*Ki'/Fi; diff --git a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m index 0370b89ca0ee927a020ac6a7ed674b20a7c8a90d..fc588898d5dd6c3b6100bc13b476418a4e2cee8e 100644 --- a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m +++ b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m @@ -183,7 +183,7 @@ while t < smpl Zi = ZZ(i,:); prediction_error = Y(i,t) - Zi*a; Fi = Zi*Pstar*Zi'+H(i); - if Fi > crit + if Fi > kalman_tol Ki = Pstar*Zi'; a = a + Ki*prediction_error/Fi; Pstar = Pstar - Ki*Ki'/Fi;