38 lines
1.1 KiB
Matlab
38 lines
1.1 KiB
Matlab
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function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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DirectoryName = CheckPath('metropolis',M.dname);
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o=load([ DirectoryName '/' M.fname '_mh_history']);
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NbrDraws = sum(o.record.MhDraws(:,1));
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NbrFiles = sum(o.record.MhDraws(:,2));
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NbrBlocks = o.record.Nblck;
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mean = 0;
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variance = 0;
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z = [];
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fname1 = [DirectoryName '/' M.fname];
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nkept = 0;
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for i=1:NbrBlocks
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n = 0;
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for j=1:NbrFiles
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o = load([fname1 '_mh' int2str(j) '_blck' int2str(i)]);
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m = size(o.x2,1);
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if n + m < drop*NbrDraws
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n = n + m;
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continue
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elseif n < drop*NbrDraws
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k = drop*NbrDraws - n + 1;
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x2 = o.x2(k:end,:);
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else
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x2 = o.x2;
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end
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z =[z; x2];
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p = size(x2,1);
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mean = (nkept*mean + sum(x2)')/(nkept+p);
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x = bsxfun(@minus,x2,mean');
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variance = (nkept*variance + x'*x)/(nkept+p);
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n = n + m;
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nkept = nkept + p;
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end
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end
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