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fxing bug in diffuse smoother with missing values

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MichelJuillard committed Mar 6, 2016
1 parent 08375e7 commit 42ecfa382f555a2d9eaeec792223844ad8c3d9ab
Showing with 2 additions and 2 deletions.
  1. +2 −2 matlab/missing_DiffuseKalmanSmootherH1_Z.m
@@ -116,7 +116,7 @@
alphahat = Inf;
return
else
a(:,:,t+1) = T*a(:,:,t);
a(:,t+1) = T*a(:,t);
Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+QQ;
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
end
@@ -125,7 +125,7 @@
Kstar(:,:,t) = Pstar(:,:,t)*ZZ'*iFstar(:,:,t);
Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T);
Pstar(:,:,t+1) = T*(Pstar(:,:,t)-Pstar(:,:,t)*ZZ'*Kstar(:,:,t)')*T'+QQ;
a(:,:,t+1) = T*(a(:,:,t)+Kstar(:,:,t)*v(:,t));
a(:,t+1) = T*(a(:,t)+Kstar(:,:,t)*v(:,t));
end
end
else

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