132 lines
3.0 KiB
Matlab
132 lines
3.0 KiB
Matlab
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function pdraw = prior_draw(init,cc)
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% Build one draw from the prior distribution.
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%
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% INPUTS
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% o SampleSize [integer] Size of the sample to build
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%
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% OUTPUTS
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% None.
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%
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% ALGORITHM
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% None.
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%
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% SPECIAL REQUIREMENTS
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% None.
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%
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%
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% part of DYNARE, copyright S. Adjemian, M. Juillard (2006)
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% Gnu Public License.
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global M_ options_ estim_params_
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persistent fname npar bounds pshape pmean pstd a b p3 p4
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if init
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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npar = nvx+nvn+ncx+ncn+np;
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MhDirectoryName = CheckPath('metropolis');
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fname = [ MhDirectoryName '/' M_.fname];
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pshape = bayestopt_.pshape;
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pmean = bayestopt_.pmean;
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pstd = bayestopt_.pstdev;
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p1 = bayestopt_.p1;
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p2 = bayestopt_.p2;
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p3 = bayestopt_.p3;
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p4 = bayestopt_.p4;
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a = zeros(npar,1);
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b = zeros(npar,1);
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if nargin == 2
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bounds = cc;
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else
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bounds = [-Inf Inf];
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end
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for i = 1:npar
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if pshape(i) == 3
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b(i) = pstd(i)^2/(pmean(i)-p3(i));
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a(i) = (pmean(i)-p3(i))/b(i);
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elseif pshape(i) == 1
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mu = (p1(i)-p3(i))/(p4(i)-p3(i));
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stdd = p2(i)/(p4(i)-p3(i));
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a(i) = (1-mu)*mu^2/stdd^2 - mu;
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b(i) = a*(1/mu - 1);
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elseif pshape(i) ==
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end
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pdraw = zeros(npar,1);
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end
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condition = 1;
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pdraw = zeros(npar,1);
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return
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end
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for i = 1:npar
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switch pshape(i)
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case 5% Uniform prior.
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pdraw(i) = rand*(p4(i)-p3(i)) + p3(i);
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case 3% Gaussian prior.
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while condition
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tmp = randn*pstd(i) + pmean(i);
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if tmp >= bounds(i,1) && tmp <= bounds(i,2)
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pdraw(i) = tmp;
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break
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end
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end
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case 2% Gamma prior.
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while condition
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g = gamma_draw(a(i),b(i),p3(i));
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if g >= bounds(i,1) && g <= bounds(i,2)
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pdraw(i) = g;
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break
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end
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end
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case 1% Beta distribution (TODO: generalized beta distribution)
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while condition
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y1 = gamma_draw(a(i),1,0);
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y2 = gamma_draw(b(i),1,0);
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tmp = y1/(y1+y2);
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if tmp >= bounds(i,1) && tmp <= bounds(i,2)
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pdraw(i) = tmp;
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break
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end
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end
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case 4% INV-GAMMA1 distribution
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case 6% INV-GAMMA2 distribution
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otherwise
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disp('prior_draw:: Error!')
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disp('Unknown prior distribution.')
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pdraw(i) = NaN;
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end
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end
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function gamma_draw(a,b,c)
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% Bauwens, Lubrano & Richard (page 316)
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if a >30
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z = randn;
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g = b*(z+sqrt(4*a-1))^2/4 + c;
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else
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x = -1;
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while x<0
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u1 = rand;
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y = tan(pi*u1);
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x = y*sqrt(2*a-1)+a-1;
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end
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while condition
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u2 = rand;
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if log(u2) <= log(1+y^2)+(a-1)*log(x/(a-1))-y*sqrt(2*a-1);
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break
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end
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end
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g = x*b+c;
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end
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