From 792924a3b75e31e90c03c5d16c32d48b19f2bcbe Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Thu, 30 Mar 2017 11:21:54 +0200
Subject: [PATCH] - test the rank of Pinf in univariate smoother for the subset
of observables, in order to trap cases where this is not already trapped in
compute_Pinf_Pstar.m - issue warning when diffuse steps never end [maybe we
should issue an error?]
---
matlab/missing_DiffuseKalmanSmootherH3_Z.m | 12 +++++++++---
1 file changed, 9 insertions(+), 3 deletions(-)
diff --git a/matlab/missing_DiffuseKalmanSmootherH3_Z.m b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
index c5beeedc73..24e6841cf9 100644
--- a/matlab/missing_DiffuseKalmanSmootherH3_Z.m
+++ b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
@@ -122,7 +122,7 @@ end
t = 0;
icc=0;
-newRank = rank(Pinf(:,:,1),diffuse_kalman_tol);
+newRank = rank(Z*Pinf(:,:,1)*Z',diffuse_kalman_tol);
while newRank && t < smpl
t = t+1;
a(:,t) = a1(:,t);
@@ -156,7 +156,7 @@ while newRank && t < smpl
end
end
if newRank
- oldRank = rank(Pinf(:,:,t),diffuse_kalman_tol);
+ oldRank = rank(Z*Pinf(:,:,t)*Z',diffuse_kalman_tol);
else
oldRank = 0;
end
@@ -168,7 +168,7 @@ while newRank && t < smpl
Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*T';
if newRank
- newRank = rank(Pinf(:,:,t+1),diffuse_kalman_tol);
+ newRank = rank(Z*Pinf(:,:,t+1)*Z',diffuse_kalman_tol);
end
if oldRank ~= newRank
disp('univariate_diffuse_kalman_filter:: T does influence the rank of Pinf!')
@@ -367,3 +367,9 @@ if decomp_flag
end
epsilonhat = Y - Z*alphahat;
+
+
+if (d==smpl)
+ warning(['missing_DiffuseKalmanSmootherH3_Z:: There isn''t enough information to estimate the initial conditions of the nonstationary variables']);
+ return
+end
--
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