From bd42665121b975aa05f613f31a9cb824a2fee8b0 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fr=C3=A9d=C3=A9ric=20Karam=C3=A9?=
<frederic.karame@univ-lemans.fr>
Date: Thu, 23 May 2024 15:30:16 +0200
Subject: [PATCH] Modifications for the online filter at order 3.
---
.../nonlinear-filters/online_auxiliary_filter.m | 16 +++++++++-------
.../solve_model_for_online_filter.m | 5 +++--
2 files changed, 12 insertions(+), 9 deletions(-)
diff --git a/matlab/nonlinear-filters/online_auxiliary_filter.m b/matlab/nonlinear-filters/online_auxiliary_filter.m
index 7495d4bc66..62634eeccf 100644
--- a/matlab/nonlinear-filters/online_auxiliary_filter.m
+++ b/matlab/nonlinear-filters/online_auxiliary_filter.m
@@ -143,9 +143,9 @@ for t=1:sample_size
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
- ghs2 = ReducedForm.ghs2;
- if (order == 3)
+ if (order==3)
% Set local state space model (third order approximation).
+ ghs2 = ReducedForm.ghs2;
ghxxx = ReducedForm.ghxxx;
ghuuu = ReducedForm.ghuuu;
ghxxu = ReducedForm.ghxxu;
@@ -171,7 +171,7 @@ for t=1:sample_size
else
if pruning
yhat_ = bsxfun(@minus,StateVectors_(:,i),state_variables_steady_state_);
- if order == 2
+ if order <= 2
tmp = local_state_space_iteration_2(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, yhat_, steadystate, options_.threads.local_state_space_iteration_2);
elseif order == 3
tmp = local_state_space_iteration_3(yhat_, zeros(number_of_structural_innovations, 1), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, options_.threads.local_state_space_iteration_3, pruning);
@@ -179,7 +179,7 @@ for t=1:sample_size
error('Pruning is not available for orders > 3');
end
else
- if order == 2
+ if order <= 2
tmp = local_state_space_iteration_2(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, constant, ghxx, ghuu, ghxu, options_.threads.local_state_space_iteration_2);
elseif order == 3
tmp = local_state_space_iteration_3(yhat, zeros(number_of_structural_innovations, 1), ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, options_.threads.local_state_space_iteration_3, pruning);
@@ -192,6 +192,8 @@ for t=1:sample_size
% Replace Gaussian density with a Student density with 3 degrees of freedom for fat tails.
z = sum(PredictionError.*(ReducedForm.H\PredictionError), 1) ;
tau_tilde(i) = weights(i).*(tpdf(z, 3*ones(size(z)))+1e-99) ;
+ else
+ tau_tilde(i) = 0 ;
end
end
% particles selection
@@ -232,9 +234,9 @@ for t=1:sample_size
ghxx = ReducedForm.ghxx;
ghuu = ReducedForm.ghuu;
ghxu = ReducedForm.ghxu;
- ghs2 = ReducedForm.ghs2;
if (order == 3)
% Set local state space model (third order approximation).
+ ghs2 = ReducedForm.ghs2;
ghxxx = ReducedForm.ghxxx;
ghuuu = ReducedForm.ghuuu;
ghxxu = ReducedForm.ghxxu;
@@ -267,7 +269,7 @@ for t=1:sample_size
else
if pruning
yhat_ = bsxfun(@minus,StateVectors_(:,i), state_variables_steady_state_);
- if order == 2
+ if order <= 2
[tmp, tmp_] = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, yhat_, steadystate, options_.threads.local_state_space_iteration_2);
elseif order == 3
[tmp, tmp_] = local_state_space_iteration_3(yhat_, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, options_.threads.local_state_space_iteration_3, pruning);
@@ -276,7 +278,7 @@ for t=1:sample_size
end
StateVectors_(:,i) = tmp_(mf0_,:);
else
- if order == 2
+ if order <= 2
tmp = local_state_space_iteration_2(yhat, epsilon, ghx, ghu, constant, ghxx, ghuu, ghxu, options_.threads.local_state_space_iteration_2);
elseif order == 3
tmp = local_state_space_iteration_3(yhat, epsilon, ghx, ghu, ghxx, ghuu, ghxu, ghs2, ghxxx, ghuuu, ghxxu, ghxuu, ghxss, ghuss, steadystate, options_.threads.local_state_space_iteration_3, pruning);
diff --git a/matlab/nonlinear-filters/solve_model_for_online_filter.m b/matlab/nonlinear-filters/solve_model_for_online_filter.m
index f4a3e6af56..c7aa6785a9 100644
--- a/matlab/nonlinear-filters/solve_model_for_online_filter.m
+++ b/matlab/nonlinear-filters/solve_model_for_online_filter.m
@@ -125,8 +125,8 @@ M_.H = H;
%------------------------------------------------------------------------------
warning('off', 'MATLAB:nearlySingularMatrix')
-[~, ~, ~, info, oo_.dr, M_.params] = ...
- dynare_resolve(M_, options_, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state, 'restrict');
+[oo_.dr, info, M_.params] = ...
+ resol(0,M_, options_, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
warning('on', 'MATLAB:nearlySingularMatrix')
if info(1)~=0
@@ -174,6 +174,7 @@ if nargout>4
ReducedForm.ghuu = zeros(size(restrict_variables_idx,1),n_shocks^2);
ReducedForm.ghxu = zeros(size(restrict_variables_idx,1),n_states*n_shocks);
ReducedForm.constant = ReducedForm.steadystate;
+% ReducedForm.ghs2 = dr.ghs2(restrict_variables_idx,:);
end
ReducedForm.state_variables_steady_state = dr.ys(dr.order_var(state_variables_idx));
ReducedForm.Q = Q;
--
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