36 lines
1.5 KiB
Matlab
36 lines
1.5 KiB
Matlab
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function [tlogpostkernel,loglikelihood] = tempered_likelihood(postkernelfun, xparam, lambda, Prior)
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% Evaluate tempered likelihood (posterior kernel)
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%
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% INPUTS
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% - postkernelfun [handle] Function handle for the opposite of the posterior kernel.
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% - xparam [double] n×1 vector of parameters.
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% - lambda [double] scalar between 0 and 1, weight on the posterior kernel.
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% - Prior [dprior] Prior specification.
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%
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% OUTPUTS
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% - tlogpostkernel [double] scalar, value of the tempered posterior kernel.
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% - loglikelihood [double] scalar, value of the log likelihood.
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% Copyright © 2022-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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logpostkernel = -postkernelfun(xparam);
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logprior = Prior.density(xparam);
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loglikelihood = logpostkernel-logprior;
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tlogpostkernel = lambda*loglikelihood + logprior;
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