Hi Johannes Here are the answers. All the best F.
Concerning the first question on filter_algorithm=sis and resampling=systematic the answer is yes. And it is the default. resampling_threshold only works with generic and is useless with systematic or none. With apf it induces a second resampling step on current particles which is not necessary. The literature then recommands resampling=none for apf.
Keep in mind that maximum likelihood will not function in presence of resampling since it generates a discontinuity of the criterion as regards structural parameters. Then avoid gradient based methods.
Concerning mode_compute=11 it is an auxiliary particle filter and it overides the other options that control other particle filters. It is useful to obtain fast estimation on parameters by including them as extra states but suffers from a severe lack of theoretical foundations.
----- Message de jpfeifer@gmx.de --------- Date : Wed, 28 Dec 2016 20:06:10 +0100 De : Johannes Pfeifer jpfeifer@gmx.de Répondre à : List for Dynare developers dev@dynare.org Objet : [DynareDev] Particle Filter À : 'List for Dynare developers' dev@dynare.org
Hi,
is someone able to answer http://www.dynare.org/phpBB3/viewtopic.php?f=1 http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=10583&p=30264#p30264 &t=10583&p=30264#p30264
Best,
Johannes
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