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Implement Sigma_infinity and K_infinity as properties #396

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Mar 11, 2018
Merged

Implement Sigma_infinity and K_infinity as properties #396

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33 changes: 17 additions & 16 deletions quantecon/kalman.py
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Original file line number Diff line number Diff line change
Expand Up @@ -64,8 +64,8 @@ class Kalman:
def __init__(self, ss, x_hat=None, Sigma=None):
self.ss = ss
self.set_state(x_hat, Sigma)
self.K_infinity = None
self.Sigma_infinity = None
self._K_infinity = None
self._Sigma_infinity = None

def set_state(self, x_hat, Sigma):
if Sigma is None:
Expand All @@ -89,6 +89,18 @@ def __str__(self):
"""
return dedent(m.format(n=self.ss.n, k=self.ss.k))

@property
def Sigma_infinity(self):
if self._Sigma_infinity is None:
self.stationary_values()
return self._Sigma_infinity

@property
def K_infinity(self):
if self._K_infinity is None:
self.stationary_values()
return self._K_infinity

def whitener_lss(self):
r"""
This function takes the linear state space system
Expand Down Expand Up @@ -143,13 +155,7 @@ def whitener_lss(self):
This is the linear state space system that represents
the whitened system
"""
# Check for steady state Sigma and K
if self.K_infinity is None:
Sig, K = self.stationary_values()
self.Sigma_infinity = Sig
self.K_infinity = K
else:
K = self.K_infinity
K = self.K_infinity

# Get the matrix sizes
n, k, m, l = self.ss.n, self.ss.k, self.ss.m, self.ss.l
Expand Down Expand Up @@ -247,6 +253,7 @@ def stationary_values(self):
The stationary Kalman gain.

"""

# === simplify notation === #
A, C, G, H = self.ss.A, self.ss.C, self.ss.G, self.ss.H
Q, R = np.dot(C, C.T), np.dot(H, H.T)
Expand All @@ -258,7 +265,7 @@ def stationary_values(self):
K_infinity = dot(temp1, temp2)

# == record as attributes and return == #
self.Sigma_infinity, self.K_infinity = Sigma_infinity, K_infinity
self._Sigma_infinity, self._K_infinity = Sigma_infinity, K_infinity
return Sigma_infinity, K_infinity

def stationary_coefficients(self, j, coeff_type='ma'):
Expand All @@ -277,9 +284,6 @@ def stationary_coefficients(self, j, coeff_type='ma'):
# == simplify notation == #
A, G = self.ss.A, self.ss.G
K_infinity = self.K_infinity
# == make sure that K_infinity has actually been computed == #
if K_infinity is None:
S, K_infinity = self.stationary_values()
# == compute and return coefficients == #
coeffs = []
i = 1
Expand All @@ -305,7 +309,4 @@ def stationary_innovation_covar(self):
R = np.dot(H, H.T)
Sigma_infinity = self.Sigma_infinity

# == make sure that Sigma_infinity has been computed == #
if Sigma_infinity is None:
Sigma_infinity, K = self.stationary_values()
return dot(G, dot(Sigma_infinity, G.T)) + R