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Johan Dahlin
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updated licence to GPL 2
Former-commit-id: 0f07904 [formerly 0f07904 [formerly 31ae779]] Former-commit-id: 24b08a79ba188167564454ecdaac4bf005c5d173 Former-commit-id: b5d67da
1 parent f73a97b commit 9702ee8

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‎matlab/example1_lgss.m‎

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% Example of fully-adapted particle filtering
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% in a linear Gaussian state space model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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‎matlab/example2_lgss.m‎

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%
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% Main script
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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‎matlab/example3_sv.m‎

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%
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% Example of particle Metropolis-Hastings in a stochastic volatility model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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‎matlab/example4_sv.m‎

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%
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% Example of particle Metropolis-Hastings in a stochastic volatility model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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‎matlab/generateData.m‎

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%
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% Generates data from the LGSS model with parameters (phi,sigmav,sigmae)
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%
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% Inputs:
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% End of file
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

‎matlab/kf.m‎

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%
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% Bootstrap particle filter
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% End of file
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

‎matlab/pmh.m‎

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%
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% Particle Metropolis-Hastings (PMH) for the LGSS model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%
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% Inputs:
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function[out] = dnorm(x, mu, sigma)
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out = -0.5 .* log(2 * pi) - 0.5 .* log( sigma.^2 ) - 0.5 ./ sigma.^2 .* ( x - mu ).^2;
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end
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end

‎matlab/pmh_sv.m‎

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%
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% Particle Metropolis-Hastings (PMH) for the SV model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%
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% Inputs:
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function[out] = dgamma(x, a, b)
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out = a * log(b) - gammaln(a) + (a-1) * log(x) - b * x;
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end
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end

‎matlab/sm.m‎

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%
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% Fully-adapted particle filter for the linear Gaussian SSM
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%
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% Inputs:
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% End of file
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

‎matlab/sm_sv.m‎

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%
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% Bootstrap particle filter for the SV model
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%
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% (c) 2015 Johan Dahlin
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% johan.dahlin (at) liu.se
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% Copyright (C) 2015 Johan Dahlin < johan.dahlin (at) liu.se >
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%
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% This program is free software; you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation; either version 2 of the License, or
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% (at your option) any later version.
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%
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% This program is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License along
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% with this program; if not, write to the Free Software Foundation, Inc.,
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% 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
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%
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%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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% End of file
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