include parallelisation, correction of the likelihood calculation for the...

include parallelisation, correction of the likelihood calculation for the Amisano and Tristani option and the possibility of monte carlo draws for the proposal.

src/conditional_filter_proposal.m

@@ -74,7 +74,11 @@ if isempty(init_flag2)
     init_flag2 = 1;
 end
 
-if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_approximation.montecarlo
+if ParticleOptions.proposal_approximation.montecarlo
+    nodes = randn(ParticleOptions.number_of_particles/10,number_of_structural_innovations) ;
+    weights = 1/ParticleOptions.number_of_particles ;
+    weights_c = weights ;
+elseif ParticleOptions.proposal_approximation.cubature
     [nodes,weights] = spherical_radial_sigma_points(number_of_structural_innovations);
     weights_c = weights ;
 elseif ParticleOptions.proposal_approximation.unscented
@@ -108,7 +112,8 @@ if ParticleOptions.proposal_approximation.cubature || ParticleOptions.proposal_a
     StateVectorMean = PredictedStateMean + (CovarianceObservedStateSquareRoot/PredictedObservedVarianceSquareRoot)*Error ;
     if ParticleOptions.cpf_weights_method.amisanotristani
         Weights = SampleWeights.*probability2(zeros(number_of_observed_variables,1),PredictedObservedVarianceSquareRoot,Error) ;
-    end
+ %       Weights = SampleWeights.*sum(weights*probability2(obs,H_lower_triangular_cholesky,tmp(mf1,:)),1) ;
+     end
 else
     dState = bsxfun(@minus,tmp(mf0,:),PredictedStateMean);
     dObserved = bsxfun(@minus,tmp(mf1,:),PredictedObservedMean);
@@ -130,7 +135,8 @@ else
     end 
     if ParticleOptions.cpf_weights_method.amisanotristani
         Weights = SampleWeights.*probability2(zeros(number_of_observed_variables,1),chol(PredictedObservedVariance)',Error) ;
-    end
+%        Weights = SampleWeights.*sum(probability2(obs,H_lower_triangular_cholesky,tmp(mf1,:))*weights) ;
+     end
 end
 
 ProposalStateVector = StateVectorVarianceSquareRoot*randn(size(StateVectorVarianceSquareRoot,2),1)+StateVectorMean ;