Merge pull request #13 from fipelle/dev

Dev: Minor update to support the new sequential approach for filtering and smoothing in MessyTimeSeries.jl
fipelle · Jul 26, 2022 · f8a7889 · f8a7889
2 parents 080a9ca + 62b2247
commit f8a7889
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Showing 6 changed files with 7 additions and 7 deletions.
diff --git a/Project.toml b/Project.toml
@@ -1,6 +1,6 @@
 name = "MessyTimeSeriesOptim"
 uuid = "7115d47b-e118-4204-bc33-dbd7ed133e66"
-version = "0.1.5"
+version = "0.1.6"
 
 [deps]
 Dates = "ade2ca70-3891-5945-98fb-dc099432e06a"

diff --git a/src/estimation.jl b/src/estimation.jl
@@ -430,7 +430,7 @@ Kalman smoother and CM-step for initial conditions (i.e., X0 and P0)
 
 APIs to call `MessyTimeSeries.update_smoothing_factors!` with SmootherArrays.
 """
-call_update_smoothing_factors!(sspace::KalmanSettings, status::SizedKalmanStatus, smoother_arrays::SmootherArrays, ind_not_missings::Union{IntVector, Nothing}, e::Union{FloatVector, Nothing}, inv_F::Union{SymMatrix, Nothing}, L::Union{FloatMatrix, Nothing}) = update_smoothing_factors!(sspace, status, ind_not_missings, smoother_arrays.J1, smoother_arrays.J2, e, inv_F, L);
+call_update_smoothing_factors!(sspace::KalmanSettings, status::SizedKalmanStatus, smoother_arrays::SmootherArrays, ind_not_missings::Union{IntVector, Nothing}, e::Union{FloatVector, Nothing}, inv_F::Union{SymMatrix, FloatVector, Nothing}, L::Union{FloatMatrix, Vector{FloatMatrix}, Nothing}) = update_smoothing_factors!(sspace, status, ind_not_missings, smoother_arrays.J1, smoother_arrays.J2, e, inv_F, L);
 call_update_smoothing_factors!(sspace::KalmanSettings, status::SizedKalmanStatus, smoother_arrays::SmootherArrays, ind_not_missings::Union{IntVector, Nothing}) = update_smoothing_factors!(sspace, status, ind_not_missings, smoother_arrays.J1, smoother_arrays.J2);
 
 """
@@ -779,7 +779,7 @@ function ecm(estim::EstimSettings; output_sspace_data::Union{FloatMatrix, JMatri
     sspace, B_star, C_star, Q_view, coordinates_measurement_states, coordinates_transition_current, coordinates_transition_lagged, coordinates_transition_PPs, coordinates_transition_P0, coordinates_free_params_B, coordinates_free_params_C = initialise(estim);
 
     # Pre-allocate memory for Kalman filter and smoother
-    status = SizedKalmanStatus(sspace.Y.T);
+    status = SizedKalmanStatus(sspace);
     smoother_arrays = SmootherArrays(estim, sspace, coordinates_measurement_states, coordinates_transition_current, coordinates_transition_lagged, coordinates_transition_PPs);
 
     # ECM controls

diff --git a/test/dfm.jl b/test/dfm.jl
@@ -223,7 +223,7 @@ function naive_dfm_simulation(true_loadings::FloatMatrix, true_dynamics::FloatMa
         sspace = ecm(estim);
 
         # Run Kalman filter
-        status = SizedKalmanStatus(sspace.Y.T);
+        status = SizedKalmanStatus(sspace);
         kfilter_full_sample!(sspace, status);
 
         X_sm, P_sm, X0_sm, P0_sm = ksmoother(sspace, status);

diff --git a/test/dfm_write.jl b/test/dfm_write.jl
@@ -60,7 +60,7 @@ function naive_dfm_simulation(true_loadings::FloatMatrix, true_dynamics::FloatMa
         sspace = ecm(estim);
 
         # Run Kalman filter
-        status = SizedKalmanStatus(sspace.Y.T);
+        status = SizedKalmanStatus(sspace);
         kfilter_full_sample!(sspace, status);
 
         X_sm, P_sm, X0_sm, P0_sm = ksmoother(sspace, status);

diff --git a/test/var.jl b/test/var.jl
@@ -144,7 +144,7 @@ function var_estimation_test(Y::JArray, q::Int64, λ::Number, α::Number, β::Nu
     =#
 
     # Run Kalman filter
-    status = SizedKalmanStatus(sspace.Y.T);
+    status = SizedKalmanStatus(sspace);
     kfilter_full_sample!(sspace, status);
 
     # Compute Kalman stats from the ksmoother function

diff --git a/test/vma.jl b/test/vma.jl
@@ -142,7 +142,7 @@ function vma_estimation_test(Y::JArray, r::Int64, λ::Number, α::Number, β::Nu
     =#
 
     # Run Kalman filter
-    status = SizedKalmanStatus(sspace.Y.T);
+    status = SizedKalmanStatus(sspace);
     kfilter_full_sample!(sspace, status);
 
     # Compute Kalman stats from the ksmoother function