2009/9/18 G. Perendia <george@perendia.orangehome.co.uk>

Hi

I would like to start implementing period-dependent likelihood calculation
within the new C++ DsgeLikelihood but that will add a bit of time.

1) I suggest that parameters description is defined by Start (or
StartPeriod) and End (or EndPeriod) instead of
a.. Period1 (beginning of sub-period)
a.. Period2 (end of sub-period)
respectively because we may have more than 2 periods and using terms Period1
and 2 as delimiters for other periods can bee a bit confusing in the
context (as it did confuse me for a start) .

2) What is data_filtering (for period 1) step as opposed to Kalman filter -
is it Kalman smoother? We have no working C++ implementation for smoother as
yet.

3) Would it be right to say that the new period divided likelihood
estimation requires overlapping variables Y(-/+n) for n>0 among the
sub-period blocks?

4) What is parameters update? Is it param likelihood, hill climbing
optimisation (or MCMC step) for each sub-period block separately
(conditional on the previous period block?)? We do not have working
optimiser in C++ yet.

4) Would the interim period-blocks' Kalman inputs be a(t|t-1) and P(t|t-1)
as well as overlapping variables Y(-/+n) for n>0 from previous block Kalman
output?

Best regards

George

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