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Commit e1ac9f47 authored by Marco Ratto's avatar Marco Ratto
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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
parent 3aadfbf9
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