Hi all,
I agree, the matlab code is very unclear (even if I had fun writting it this way ;-) and prone to errors if one uses the vector lik (Marco is using it). I would rather prefer to add the constants outside of the loop with a (sub)vector operation, this should be more efficient. I will do it today or tomorrow.
Best,
Stéphane.
2009/5/27 Michel Juillard <michel.juillard@ens.fr <mailto:michel.juillard@ens.fr>>
On closer inspection, I don't think that the expression pointed by
George in kalman_filter.m is wrong:
1. reste = smpl-t or the number of periods during which the filter
is stationary. This shouldn't be larger than T-start+1
2. it is problematic (see below) but not wrong to add all the
determinants at once in the last period of the stationary filter
3. I don't think this explains the difference with the C++ version
of the filter and we still have to look for it.
4. it remains that the current code is very unclear and that if
LIK is correct the vector lik doesn't have the correct constants
on each elements.
5. I would like to simplify the code and add the correct constant
to each element of the lik vector. It would be a little bit less
efficient in Matlab than the current code, but I doubt it would be
noticeable.
Stephane, what do you think?
Best
Michel
G. Perendia wrote:
Dear Michel
I think I found an error in Dynare Matlab kalman_filter. suite
of utilities
which affects the likelihood LIK results with start>1 (i.e.
presampling>0):
the calculation speed-up construct which relies on converged
covariance
matrix
lik(t) = lik(t) + reste*log(dF);
adds reste * log(dF) to the last-1 (i.e. the smpl) member of lik
(the last, the lik(smpl+1) one contains smpl*pp*log(2*pi))
but reste is usually larger than T-start+1 so that
LIK = .5*(sum(lik(start:end))-(start-1)*lik(smpl+1)/smpl)
has much more log(dF)s added than required since they are all
concentrated
in the last-1 (the T) member
For example, if I change the above construct to
lik(t) = lik(t) + min(reste,(smpl-start+1))*log(dF);
the reported likelihood for presample=40 from Matlab KF is
1640935.5855267849
which is nearly the same as that from C++ KF below:
1640935.5854489324
Shall I make changes to kalman/likelihood/ KFs and upload the
.m files?
This problem affects also the older versions of
DiffuseLikelihood**.m too.
Best regards
George
----- Original Message ----- From: "Michel Juillard"
<michel.juillard@ens.fr <mailto:michel.juillard@ens.fr>>
<mailto:george@perendia.orangehome.co.uk>>
Sent: Tuesday, May 26, 2009 10:32 AM
Subject: Re: Kalman Filter+PS
Hi George,
Re 1) below:
I modified C++ KF so that it reports log-likelihood
for given
start/preampling in same/similar manner as the Matlab
KFs do and I am
getting approximately close results, e.g.
ll= -1640935.5854489324 for C++ and
(-) 1640482.4179242959 for Matlab KF (for start=41, i.e.
presample=40).
whilst they appear same for presample=0
(e.g.2.5906e+006), i.e.
-2590556.989730841 vs
2590556.989778722
Are those results acceptably close or should I
investigate further where
the
above difference may come form?
This indicates a problem . The difference should be the
same with and
without presample. It may come from the computation of the
likelihood
constant. This is done in a very obscure manner in Dynare
Matlab.
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