New subject: lyapunov kalman filter options

29 Jul 2009


      Tanks for the update.
The false value when A contains unit root is a fault of design. The 
information on which columns are useable is in the list of stationary 
variables,
Best
Michel
G. Perendia wrote:
...
Dear Michel and Stephane
Re the below warning: the results from lyapunov_symm.m seem now correct - It
seems that my Matlab variables memory was corrupted and after a reboot and
restart it seems ok now - sorry for the alarm.
It however reports (an incorrect ) X=[0's]  instead of indeterminate or NaN
if I pass a=I.
PS: and I still need to test and debug new C++lyapunov because it may have
been causing the variable corruption.
Best regards
George
Mob. +44(0)7951415480
artilogica@btconnect.com
----- Original Message ----- 
From: "Michel Juillard" michel.juillard@ens.fr
To: "G. Perendia" george@perendia.orangehome.co.uk
Cc: "List for Dynare developers" dev@dynare.org
Sent: Wednesday, July 29, 2009 9:27 AM
Subject: lyapunov kalman filter options
...
I would use lyapunov_tol = 1e-12
(in the example disclyap_fat.m, the criterium is 1e-16)
and
kalman_tol = 1e-12
Both options should be accessible to users and obtained from
options_. The initialization should take place in global_initialization.m
Best
Michel
...
Errata:

it is options_.lyapunov_complex_threshold=1e-15 that is passed in

calls
...
...
to the
existing lyapunov_symm.m and I can use that as tolerance instead the
original 1e-6 if needed.
Warning:
If I pass a=T=[0] and b=RQR'~0 to lyapunov_symm.m, I get result Pstar
very
...
...
different from b although the solution to Lyapunov x-a*x*a' = b is
x=b=RQR'
...
...
and both, the new C++ and old matlab disklyap_fast return X=b=RQR as
solution!!
Best regards
George
Mob. +44(0)7951415480
artilogica@btconnect.com
----- Original Message ----- 
From: "G. Perendia" george@perendia.orangehome.co.uk
To: "Michel Juillard" michel.juillard@ens.fr; "Stéphane Adjemian"
stephane.adjemian@gmail.com
Sent: Wednesday, July 29, 2009 7:46 AM
Subject: Re: measurement errors + steady KF
...
Hi Michel, Stephane
What tolerances should we use to pass:
1)for  the new fast iterative C++ Lyapunov solution convergence check
if max( max( abs( P1 - P0 ) ) )>tol
The original Joe Pearlman's matlab code used 1e-6. which is same as
Dynare
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default ricatti_tol (also used for a similar purpose in calls to the
existing lyapunov_symm.m.). So, shall we use the riccati_tol or set a
separate, lyapunov_tol one at the same default level?

and, as per below, for the Old style DiffuseLikelihood.m like  Pstar

convergence/differences, that has been built into the C++KF i.e.:
     notsteady = ~(max(max(abs(Pstar-oldPstar)))<crit);
where crit is options_.kalman_tol =   1.0000e-012 - I guess we can
continue
...
to use the same
though the new likelihood/kalman_filter*.m suite uses riccati_tol
instead
...
...
...
but for F convergence check.
Best regards
George
Mob. +44(0)7951415480
artilogica@btconnect.com
----- Original Message ----- 
From: "Michel Juillard" michel.juillard@ens.fr
To: "G. Perendia" george@perendia.orangehome.co.uk; "Stéphane
Adjemian"
...
...
...
stephane.adjemian@gmail.com
Sent: Tuesday, July 14, 2009 11:47 PM
Subject: Re: measurement errors + steady KF
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I don't know. This is something that we need to discuss with Stephane.
All the best,
Michel
G. Perendia wrote:
...
Thanks Michel
I am finishing algorithm for checking if KF P (and/or K) are steady
for
...
the
...
...
C++KF.
Old DiffuseLikelihood.m uses Pstar differences, i.e.:
    notsteady = ~(max(max(abs(Pstar-oldPstar)))<crit);
where crit is options_.kalman_tol =   1.0000e-012
whilst the new kalman_filter.m uses K to check:
    notsteady = max(max(abs(K-oldK))) > riccati_tol;
where
    K = Pstar*Z'*invF;
and options_.riccati_tol=  1.0000e-006
Which tolerance (and check) should I use for C++KF?
I have already built a system using Pstar -oldPstar and that works
well
...
but
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question is which tolerance to use since riccati seems sufficient for
P
...
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...
difference too.
Best regards
George
Mob. +44(0)7951415480
artilogica@btconnect.com
----- Original Message ----- 
From: "Michel Juillard" michel.juillard@ens.fr
To: "G. Perendia" george@perendia.orangehome.co.uk
Sent: Tuesday, July 14, 2009 6:57 AM
Subject: Re: measurement errors
> Hi George,
>
> it is like for exogenous variables. If GDP is an endogenous variable
>
> estimated_params;
> stderr GDP, uniform_pdf,,,0,1;
> ....
> end;
>
> will introduce a measurement error on GDP.
>
> Best
>
> Michel
> G. Perendia wrote:
>
>
>               
>> Dear Michel
>>
>> For testing Part Info (and the other) Kalman filters, I would need
>>
>>
to
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...
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>> set situation with measurement errors so  that H~=0.
>>
>> Can you please let me know how one specifies measurement errors
>> in  Dynare for estimation so  that H ~ =0?
>> Best regards
>>
>> George
>> Mob. +44(0)7951415480
>> artilogica@btconnect.com mailto:artilogica@btconnect.com
>>
>>
>>
a

Re: [DynareDev] lyapunov kalman filter options