15 Oct
2015
15 Oct
'15
7:55 a.m.
Dears,
I checked with
TeX/fs2000_corr_ME
In fact the filter does the right thing, since the prior to measurement error correlation allows +/- 1, and we also get a warning:
Warning: Your prior allows for correlations between measurement errors larger than +-1 and will not integrate to 1 due to truncation. Please change your prior
When the multivariate filter stops, the correlation matrix implied by F is indeed [1 -1; -1 1] F is also not positive definite at that point, log(det(F)) would be a complex number, etc ...
So, I think this behavior is correct and traps properly the issue around F.
cheers M
--
Marco Ratto,
Financial and Economic Analysis
Joint Research Centre
European Commission,
TP 361, 21027 ISPRA(VA), ITALY
Tel: +39 0332 78 3794 Fax: +39 0332 78 5752,
marco.ratto@jrc.ec.europa.eu
http://www.macfinrobods.eu/
On 10/15/2015 8:30 AM, Marco Ratto wrote:
> Then it might be that my modified tolerance make things worse [I
> thought to decrease singularity issues in multivariate filters ...].
> I'll check as well
> Marco
>