From 62b0129adea4bc5e187d60e28a454f26a112482e Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Wed, 21 Feb 2024 17:30:15 +0100
Subject: [PATCH] :bug: univariate_kalman_filter: discard pathological
parameter draws that result in negative variance
Logic was faulty as not bigger than tolerance does not imply being 0
---
.../kalman/likelihood/univariate_kalman_filter.m | 16 +++++++++++++---
.../likelihood/univariate_kalman_filter_d.m | 12 +++++++++---
2 files changed, 22 insertions(+), 6 deletions(-)
diff --git a/matlab/kalman/likelihood/univariate_kalman_filter.m b/matlab/kalman/likelihood/univariate_kalman_filter.m
index 50cdc6020f..43c8603590 100644
--- a/matlab/kalman/likelihood/univariate_kalman_filter.m
+++ b/matlab/kalman/likelihood/univariate_kalman_filter.m
@@ -84,7 +84,7 @@ function [LIK, lik,a,P] = univariate_kalman_filter(data_index,number_of_observat
% Second Edition, Ch. 6.4 + 7.2.5
-% Copyright © 2004-2021 Dynare Team
+% Copyright © 2004-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -212,8 +212,18 @@ while notsteady && t<=last %loop over t
a = a + Ki*prediction_error; %filtering according to (6.13) in DK (2012)
P = P - PZ*Ki'; %filtering according to (6.13) in DK (2012)
else
- % do nothing as a_{t,i+1}=a_{t,i} and P_{t,i+1}=P_{t,i}, see
- % p. 157, DK (2012)
+ if Fi<0
+ %pathological numerical case where variance is negative
+ if analytic_derivation
+ LIK={NaN,DLIK,Hess};
+ else
+ LIK = NaN;
+ end
+ return
+ else
+ % do nothing as a_{t,i+1}=a_{t,i} and P_{t,i+1}=P_{t,i}, see
+ % p. 157, DK (2012)
+ end
end
end
if analytic_derivation
diff --git a/matlab/kalman/likelihood/univariate_kalman_filter_d.m b/matlab/kalman/likelihood/univariate_kalman_filter_d.m
index fb8a46d444..d18b262a0f 100644
--- a/matlab/kalman/likelihood/univariate_kalman_filter_d.m
+++ b/matlab/kalman/likelihood/univariate_kalman_filter_d.m
@@ -87,7 +87,7 @@ function [dLIK, dlikk, a, Pstar, llik] = univariate_kalman_filter_d(data_index,
% Series Analysis by State Space Methods", Oxford University Press,
% Second Edition, Ch. 5, 6.4 + 7.2.5
-% Copyright © 2004-2021 Dynare Team
+% Copyright © 2004-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -155,8 +155,14 @@ while newRank && (t<=last)
a = a+Kstar*(prediction_error/Fstar);
Pstar = Pstar-Kstar*(Kstar'/Fstar);
else
- % do nothing as a_{t,i+1}=a_{t,i} and P_{t,i+1}=P_{t,i}, see
- % p. 157, DK (2012)
+ if Fstar<0 || Finf<0
+ %pathological numerical case where variance is negative
+ dLIK = NaN;
+ return
+ else
+ % do nothing as a_{t,i+1}=a_{t,i} and P_{t,i+1}=P_{t,i}, see
+ % p. 157, DK (2012)
+ end
end
end
if newRank
--
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