2005-09-10 12:04:22 +02:00
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function [post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(xx,info)
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% stephane.adjemian@ens.fr [09-09-2005]
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% Computes posterior mean, median, variance, HPD interval, deciles, and density from posterior draws.
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global options_
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xx = xx(:);
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xx = sort(xx);
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post_mean = mean(xx);
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post_median = median(xx);
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post_var = var(xx);
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n = length(xx);
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m = round((1-options_.mh_conf_sig)*n);
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k = zeros(m,1);
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jj = n-m;
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for ii = 1:m
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k(ii) = xx(jj)-xx(ii);
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jj = jj + 1;
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end
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[kmin,idx] = min(k);
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hpd_interval = [xx(idx) xx(idx)+kmin];
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post_deciles = xx([round(0.1*n) ...
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round(0.2*n)...
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round(0.3*n)...
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round(0.4*n)...
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round(0.5*n)...
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round(0.6*n)...
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round(0.7*n)...
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round(0.8*n)...
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round(0.9*n)]);
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if ~info
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density = [];
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else
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number_of_grid_points = 2^9; % 2^9 = 512 !... Must be a power of two.
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bandwidth = 0; % Rule of thumb optimal bandwidth parameter.
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kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourrier Transform approximaton.
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optimal_bandwidth = mh_optimal_bandwidth(xx,length(xx),bandwidth,kernel_function);
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[density(:,1),density(:,2)] = kernel_density_estimate(xx,number_of_grid_points,optimal_bandwidth,kernel_function);
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end
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