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in particle filter context, computes pkf conditional densities given a sample of states
allow using particle filter likelihood at the beginning of the filter. filter will automatically turn to standard PKF once back to base regime clean-up code and bug fixes posterior importance sampling utility, given metropolis draws from a previous estimate PPF routines and provisions for PPF use option to set the threshold for using PKF updated state. default=1, i.e. we switch to PKF updated state only if 100% of the updated particles belong to base regime occbin.pkf_conditional_density.m is the main wrapper for PPF steps in KF. maybe it should be renamed new utility to check that the updated states in t-1 and shocks in t always deliver the same regime as per PKF add info about smoothed state in t=0 init_state_endo_prior can only be used when objective function is dsge_smoother squash all development commits in one commit
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- matlab/+occbin/DSGE_smoother.m 44 additions, 20 deletionsmatlab/+occbin/DSGE_smoother.m
- matlab/+occbin/check_regime_incertainty.m 67 additions, 0 deletionsmatlab/+occbin/check_regime_incertainty.m
- matlab/+occbin/kalman_update_algo_1.m 5 additions, 2 deletionsmatlab/+occbin/kalman_update_algo_1.m
- matlab/+occbin/kalman_update_algo_3.m 3 additions, 0 deletionsmatlab/+occbin/kalman_update_algo_3.m
- matlab/+occbin/kalman_update_engine.m 30 additions, 5 deletionsmatlab/+occbin/kalman_update_engine.m
- matlab/+occbin/local_EnKF_iteration.m 60 additions, 0 deletionsmatlab/+occbin/local_EnKF_iteration.m
- matlab/+occbin/local_iteration.m 62 additions, 0 deletionsmatlab/+occbin/local_iteration.m
- matlab/+occbin/local_pkf_iteration.m 1362 additions, 0 deletionsmatlab/+occbin/local_pkf_iteration.m
- matlab/+occbin/missing_observations_piecewise_particle_filter.m 433 additions, 0 deletions.../+occbin/missing_observations_piecewise_particle_filter.m
- matlab/+occbin/pkf_conditional_density.m 264 additions, 0 deletionsmatlab/+occbin/pkf_conditional_density.m
- matlab/+occbin/posterior_importance_sampling.m 368 additions, 0 deletionsmatlab/+occbin/posterior_importance_sampling.m
- matlab/+occbin/ppf_conditional_density.m 192 additions, 0 deletionsmatlab/+occbin/ppf_conditional_density.m
- matlab/+occbin/ppf_engine.m 189 additions, 0 deletionsmatlab/+occbin/ppf_engine.m
- matlab/+occbin/ppf_graphs.m 513 additions, 0 deletionsmatlab/+occbin/ppf_graphs.m
- matlab/+occbin/ppf_simulated_density.m 243 additions, 0 deletionsmatlab/+occbin/ppf_simulated_density.m
- matlab/+occbin/ppf_state_importance_sampling.m 385 additions, 0 deletionsmatlab/+occbin/ppf_state_importance_sampling.m
- matlab/+occbin/set_default_options.m 21 additions, 0 deletionsmatlab/+occbin/set_default_options.m
- matlab/+occbin/shock_decomposition.m 30 additions, 1 deletionmatlab/+occbin/shock_decomposition.m
- matlab/+occbin/solve_one_constraint.m 3 additions, 0 deletionsmatlab/+occbin/solve_one_constraint.m
- matlab/+occbin/squeeze_shock_decomposition.m 11 additions, 0 deletionsmatlab/+occbin/squeeze_shock_decomposition.m
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