# Univariate diffuse kalman filter: T does influence the rank of Pinf!

**URL:** <https://forum.dynare.org/t/univariate-diffuse-kalman-filter-t-does-influence-the-rank-of-pinf/14487>\
**Category:** Estimation\
**Created:** [18 September 2019 12:28 UTC](https://forum.dynare.org/t/univariate-diffuse-kalman-filter-t-does-influence-the-rank-of-pinf/14487 "2019-09-18T12:28:44Z")\
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**Author:** ![rattoma](https://forum.dynare.org/letter_avatar_proxy/v4/letter/r/7ba0ec/32.png) [@rattoma](https://forum.dynare.org/u/rattoma)\
**Post date:** [19 September 2019 11:39 UTC](https://forum.dynare.org/t/univariate-diffuse-kalman-filter-t-does-influence-the-rank-of-pinf/14487/3 "2019-09-19T11:39:44Z")

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This warning (not sure it was me who made it) is related to the fact that once Pinf is for example numerically null rank (according to the tolerance set), then the updated matrix  
TP\_\infty T'

should also be rank deficient. when the warning is issued, in most cases this is due just to numerical issues, but it should give the message not systematically. Otherwise, it may be an indication of lack of some issues in how the model is defined (whether unit roots are properly projected onto observables, for example)

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