update

src/bmlib/include/dsge/dsge_class.hpp

@@ -53,6 +53,10 @@ class dsge
         arma::vec lower_bounds;
         arma::vec upper_bounds;
 
+        // choice of filtering method
+
+        int filter_choice = 1; // 1 for Kalman, 2 for Chandrasekhar
+
         // data used for estimation
 
         arma::mat estim_data;

src/bmlib/include/dsge/dsge_class.tpp

@@ -147,7 +147,22 @@ const
 
     // run filter
 
-    const double log_likelihood_val = kalman_filter(estim_data, kalman_mat_F,kalman_mat_Q, kalman_mat_C,kalman_mat_H,kalman_mat_R);
+    double log_likelihood_val = 0.0;
+
+    switch (filter_choice) {
+        case 1:
+            log_likelihood_val = kalman_filter(estim_data, kalman_mat_F,kalman_mat_Q, kalman_mat_C,kalman_mat_H,kalman_mat_R);
+            break;
+
+        case 2:
+            log_likelihood_val = chand_recur(estim_data, kalman_mat_F,kalman_mat_Q, kalman_mat_C,kalman_mat_H,kalman_mat_R);
+            break;
+
+        default:
+            printf("error: unknown choice for filter\n");
+            break;
+
+    }
 
     // compute the prior
 
@@ -345,7 +360,7 @@ const
         dsge_obj_copy.solve_to_state_space(dsge_draws.row(j).t());
 
         arma::mat G_state;
-        dsge_obj_copy.state_space(kalman_mat_F,G_state);
+        dsge_obj_copy.state_space(dsge_obj_copy.kalman_mat_F,G_state);
 
         //
 

src/bmlib/include/stats/dens/dbern.hpp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the univariate Bernoulli distribution
- *
- * Keith O'Hara
- * 01/03/2016
- *
- * This version:
- * 07/06/2017
  */
 
 #ifndef _statslib_dbern_HPP

src/bmlib/include/stats/dens/dbern.ipp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the univariate Bernoulli distribution
- *
- * Keith O'Hara
- * 01/03/2016
- *
- * This version:
- * 07/06/2017
  */
 
 //
@@ -74,12 +68,16 @@ arma::mat
 dbern_int(const arma::mat& x, const double* prob_par_inp, const bool log_form)
 {
     const double prob_par = (prob_par_inp) ? *prob_par_inp : 0.5;
+
     //
+
     arma::mat ret(x.n_rows,x.n_cols);
 
     (log_form) ? ret.fill(std::log(1.0 - prob_par)) : ret.fill(1.0 - prob_par);
     (log_form) ? ret.elem(arma::find(x)).fill(std::log(prob_par)) : ret.elem(arma::find(x)).fill(prob_par);
+
     //
+
     return ret;
 }
 

src/bmlib/include/stats/dens/dbeta.hpp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the beta distribution
- *
- * Keith O'Hara
- * 01/02/16
- *
- * This version:
- * 07/06/2017
  */
 
 #ifndef _statslib_dbeta_HPP

src/bmlib/include/stats/dens/dbeta.ipp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the beta distribution
- *
- * Keith O'Hara
- * 01/02/16
- *
- * This version:
- * 07/02/2017
  */
 
 //
@@ -73,16 +67,20 @@ inline
 arma::mat
 dbeta_int(const arma::mat& x, const double* a_par_inp, const double* b_par_inp, const bool log_form)
 {
-    const double a_par = (a_par_inp) ? *a_par_inp : 2; // shape parameter 'alpha'
-    const double b_par = (b_par_inp) ? *b_par_inp : 2; // scale parameter 'beta'
+    const double a_par = (a_par_inp) ? *a_par_inp : 2.0; // shape parameter 'alpha'
+    const double b_par = (b_par_inp) ? *b_par_inp : 2.0; // scale parameter 'beta'
+
     //
+
     const double lbeta_term = std::lgamma(a_par + b_par) - std::lgamma(a_par) - std::lgamma(b_par); // log beta function
     arma::mat ret = lbeta_term + (a_par - 1.0)*arma::log(x) + (b_par - 1.0)*arma::log(1.0 - x);
 
     if (!log_form) {
         ret = arma::exp(ret);
     }
+
     //
+
     return ret;
 }
 

src/bmlib/include/stats/dens/dbinom.hpp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the univariate Binomial distribution
- *
- * Keith O'Hara
- * 06/23/2017
- *
- * This version:
- * 07/06/2017
  */
 
 #ifndef _statslib_dbinom_HPP

src/bmlib/include/stats/dens/dbinom.ipp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the univariate Binomial distribution
- *
- * Keith O'Hara
- * 06/23/2017
- *
- * This version:
- * 07/06/2017
  */
 
 //
@@ -81,14 +75,18 @@ dbinom_int(const arma::mat& x, const int* n_trials_par_inp, const double* prob_p
     const int n = x.n_rows;
     const int k = x.n_cols;
 
+    //
+
     arma::mat ret(n,k);
 
     for (int j=0; j < k; j++) {
         for (int i=0; i < n; i++) {
             ret(i,j) = dbinom((int)x(i,j),n_trials_par,prob_par,log_form);
         }
     }
+
     //
+
     return ret;
 }
 

src/bmlib/include/stats/dens/dcauchy.hpp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the Cauchy distribution
- *
- * Keith O'Hara
- * 07/01/2017
- *
- * This version:
- * 07/07/2017
  */
 
 #ifndef _statslib_dcauchy_HPP

src/bmlib/include/stats/dens/dcauchy.ipp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the Cauchy distribution
- *
- * Keith O'Hara
- * 07/01/2017
- *
- * This version:
- * 07/07/2017
  */
 
 //
@@ -73,17 +67,21 @@ inline
 arma::mat
 dcauchy_int(const arma::mat& x, const double* mu_par_inp, const double* sigma_par_inp, const bool log_form)
 {
-    const double mu_par = (mu_par_inp) ? *mu_par_inp : 0;
-    const double sigma_par = (sigma_par_inp) ? *sigma_par_inp : 1;
+    const double mu_par = (mu_par_inp) ? *mu_par_inp : 0.0;
+    const double sigma_par = (sigma_par_inp) ? *sigma_par_inp : 1.0;
+
     //
+
     const arma::mat z = (x - mu_par) / sigma_par;
 
     arma::mat ret = 1.0 / ( sigma_par*GCEM_PI*(1.0 + z%z) );
 
     if (log_form) {
         ret = arma::log(ret);
     }
+
     //
+
     return ret;
 }
 

src/bmlib/include/stats/dens/dchisq.hpp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the chi-squared distribution
- *
- * Keith O'Hara
- * 04/12/2017
- *
- * This version:
- * 07/07/2017
  */
 
 #ifndef _statslib_dchisq_HPP

src/bmlib/include/stats/dens/dchisq.ipp

@@ -18,12 +18,6 @@
 
 /*
  * pdf of the chi-squared distribution
- *
- * Keith O'Hara
- * 04/12/2017
- *
- * This version:
- * 07/07/2017
  */
 
 //
@@ -74,15 +68,19 @@ arma::mat
 dchisq_int(const arma::mat& x, const double* dof_par_inp, const bool log_form)
 {
     const double dof_2 = (dof_par_inp) ? *dof_par_inp / 2.0 : 0.5; // dof / 2
+
     //
+
     const double norm_term = - std::lgamma(dof_2) - dof_2*GCEM_LOG_2;
 
     arma::mat ret = norm_term + (dof_2 - 1) * arma::log(x) - x / 2.0;
 
     if (!log_form) {
         ret = arma::exp(ret);
     }
+
     //
+
     return ret;
 }
 

src/bmlib/include/stats/dens/dens.hpp

@@ -23,6 +23,7 @@
 #include "dbeta.hpp"
 #include "dcauchy.hpp"
 #include "dchisq.hpp"
+#include "dexp.hpp"
 #include "dgamma.hpp"
 #include "dinvgamma.hpp"
 #include "dinvwish.hpp"

src/bmlib/include/stats/dens/dexp.hpp

@@ -0,0 +1,44 @@
+/*################################################################################
+  ##
+  ##   Copyright (C) 2011-2017 Keith O'Hara
+  ##
+  ##   This file is part of the StatsLib C++ library.
+  ##
+  ##   StatsLib is free software: you can redistribute it and/or modify
+  ##   it under the terms of the GNU General Public License as published by
+  ##   the Free Software Foundation, either version 2 of the License, or
+  ##   (at your option) any later version.
+  ##
+  ##   StatsLib is distributed in the hope that it will be useful,
+  ##   but WITHOUT ANY WARRANTY; without even the implied warranty of
+  ##   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+  ##   GNU General Public License for more details.
+  ##
+  ################################################################################*/
+
+/*
+ * pdf of the exponential distribution
+ */
+
+#ifndef _statslib_dexp_HPP
+#define _statslib_dexp_HPP
+
+// single input
+template<typename T>
+statslib_constexpr T dexp(const T x, const T dof_par, const bool log_form);
+
+statslib_constexpr double dexp(const double x);
+statslib_constexpr double dexp(const double x, const bool log_form);
+statslib_constexpr double dexp(const double x, const double dof_par);
+
+// matrix/vector input
+arma::mat dexp_int(const arma::mat& x, const double* dof_par_inp, const bool log_form);
+
+arma::mat dexp(const arma::mat& x);
+arma::mat dexp(const arma::mat& x, const bool log_form);
+arma::mat dexp(const arma::mat& x, const double dof_par);
+arma::mat dexp(const arma::mat& x, const double dof_par, const bool log_form);
+
+#include "dexp.ipp"
+
+#endif