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Commit c02616b0 authored by sebastien's avatar sebastien
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v4.0: merging r2048 changeset from trunk

git-svn-id: https://www.dynare.org/svn/dynare/branches/4.0@2049 ac1d8469-bf42-47a9-8791-bf33cf982152
parent ffd6400c
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...@@ -113,7 +113,7 @@ while newRank & t < smpl ...@@ -113,7 +113,7 @@ while newRank & t < smpl
% presample options can be used to ignore initial time points % presample options can be used to ignore initial time points
lik(t) = lik(t) + log(Fstar) + v(i)*v(i)/Fstar; lik(t) = lik(t) + log(Fstar) + v(i)*v(i)/Fstar;
a = a + Kstar*v(i)/Fstar; a = a + Kstar*v(i)/Fstar;
Pstar = Pstar - Kstar*Kstar'/Fstar; Pstar = Pstar - Kstar*(Kstar'/Fstar);
else else
%disp(['zero F term in DKF for observed ',int2str(i),' ',num2str(Fstar)]) %disp(['zero F term in DKF for observed ',int2str(i),' ',num2str(Fstar)])
end end
...@@ -147,7 +147,7 @@ while notsteady & t < smpl ...@@ -147,7 +147,7 @@ while notsteady & t < smpl
if Fi > crit if Fi > crit
Ki = Pstar*Zi'; Ki = Pstar*Zi';
a = a + Ki*v(i)/Fi; a = a + Ki*v(i)/Fi;
Pstar = Pstar - Ki*Ki'/Fi; Pstar = Pstar - Ki*(Ki'/Fi);
lik(t) = lik(t) + log(Fi) + v(i)*v(i)/Fi; lik(t) = lik(t) + log(Fi) + v(i)*v(i)/Fi;
else else
%disp(['zero F term for observed ',int2str(i),' ',num2str(Fi)]) %disp(['zero F term for observed ',int2str(i),' ',num2str(Fi)])
......
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