@@ -6072,7 +6072,7 @@ singularity is encountered, Dynare by default automatically switches to the univ
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@@ -6072,7 +6072,7 @@ singularity is encountered, Dynare by default automatically switches to the univ
recursions as described by @cite{Herbst, 2015}. This setting is only used with
recursions as described by @cite{Herbst, 2015}. This setting is only used with
@code{kalman_algo=1} or @code{kalman_algo=3}. In case of using the diffuse Kalman
@code{kalman_algo=1} or @code{kalman_algo=3}. In case of using the diffuse Kalman
filter (@code{kalman_algo=3/lik_init=3}), the observables must be stationary. This option
filter (@code{kalman_algo=3/lik_init=3}), the observables must be stationary. This option
is not yet compatible with @code{analytical_derivation}.
is not yet compatible with @ref{analytic_derivation}.
@item kalman_tol = @var{DOUBLE}
@item kalman_tol = @var{DOUBLE}
@anchor{kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors during the Kalman filter (minimum allowed reciprocal of the matrix condition number). Default value is @code{1e-10}
@anchor{kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors during the Kalman filter (minimum allowed reciprocal of the matrix condition number). Default value is @code{1e-10}
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@@ -6218,9 +6218,10 @@ where the model is ill-behaved. By default the original objective function is
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@@ -6218,9 +6218,10 @@ where the model is ill-behaved. By default the original objective function is
used.
used.
@item analytic_derivation
@item analytic_derivation
@anchor{analytic_derivation}
Triggers estimation with analytic gradient. The final hessian is also
Triggers estimation with analytic gradient. The final hessian is also
computed analytically. Only works for stationary models without
computed analytically. Only works for stationary models without
missing observations.
missing observations, i.e. for @code{kalman_algo<3}.
@item ar = @var{INTEGER}
@item ar = @var{INTEGER}
@xref{ar}. Only useful in conjunction with option @code{moments_varendo}.
@xref{ar}. Only useful in conjunction with option @code{moments_varendo}.