From 6e1f1b60597aeb0fc3af73effef21116e77f36d8 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Fri, 5 Mar 2010 11:26:29 +0100
Subject: [PATCH] fixed bug with tolerance for steady state kalman filter
(cherry picked from commit 24d41f66c8fe1052fb57470c961a34f2623a8c9f)
---
matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m | 2 +-
.../kalman/likelihood/univariate_diffuse_kalman_filter_corr.m | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
diff --git a/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m b/matlab/kalman/likelihood/univariate_diffuse_kalman_filter.m
index f42cb8ff45..f2d27422a5 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 62b0cdac79..46573e0348 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;
--
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