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Mark Song
particles
Commits
5220ec2a
Commit
5220ec2a
authored
Jul 24, 2015
by
Johannes Pfeifer
Browse files
Reflect new input argument of lyapunov_symm.m of Dynare
Related to
https://github.com/DynareTeam/dynare/pull/983
parent
12a5e664
Changes
1
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Inline
Side-by-side
src/solve_model_for_online_filter.m
View file @
5220ec2a
...
...
@@ -329,7 +329,7 @@ if observation_number==1
switch
DynareOptions
.
particle
.
initialization
case
1
%
Initial
state
vector
covariance
is
the
ergodic
variance
associated
to
the
first
order
Taylor
-
approximation
of
the
model
.
StateVectorMean
=
ReducedForm
.
constant
(
mf0
);
StateVectorVariance
=
lyapunov_symm
(
ReducedForm
.
ghx
(
mf0
,:),
ReducedForm
.
ghu
(
mf0
,
:
)
*
ReducedForm
.
Q
*
ReducedForm
.
ghu
(
mf0
,
:
)
'
,
1e-12
,
1e-12
);
StateVectorVariance
=
lyapunov_symm
(
ReducedForm
.
ghx
(
mf0
,:),
ReducedForm
.
ghu
(
mf0
,
:
)
*
ReducedForm
.
Q
*
ReducedForm
.
ghu
(
mf0
,
:
)
'
,
DynareOptions
.
lyapunov_fixed_point_tol
,
DynareOptions
.
qz_criterium
,
DynareOptions
.
lyapunov_complex_threshold
);
case
2
%
Initial
state
vector
covariance
is
a
monte
-
carlo
based
estimate
of
the
ergodic
variance
(
consistent
with
a
k
-
order
Taylor
-
approximation
of
the
model
).
StateVectorMean
=
ReducedForm
.
constant
(
mf0
);
old_DynareOptionsperiods
=
DynareOptions
.
periods
;
...
...
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