diff --git a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m index f42cb8ff454bf9313c00ca766c7663acad51d09b..f2d27422a5672adf54ce1a0ac36e97fe4e4f8a19 100644 --- a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m +++ b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m @@ -132,7 +132,7 @@ while t < smpl Zi = Z(i,:); prediction_error = Y(i,t) - Zi*a; Fi = Zi*Pstar*Zi'+H(i); - if Fi > crit + if Fi > kalman_tol Ki = Pstar*Zi'; a = a + Ki*prediction_error/Fi; Pstar = Pstar - Ki*Ki'/Fi; diff --git a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m index 62b0cdac79b62e43b9b1050a26847fd7fcd1f689..46573e0348caa04bede0cc4715c379f72a019d98 100644 --- a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m +++ b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter_corr.m @@ -181,7 +181,7 @@ while t < smpl Zi = ZZ(i,:); prediction_error = Y(i,t) - Zi*a; Fi = Zi*Pstar*Zi'+H(i); - if Fi > crit + if Fi > kalman_tol Ki = Pstar*Zi'; a = a + Ki*prediction_error/Fi; Pstar = Pstar - Ki*Ki'/Fi;