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Make mh_tune_jscale work with use_mh_covariance_matrix

time-shift
Johannes Pfeifer 2021-01-20 10:33:12 +01:00
parent fa739c3a63
commit 731a168f69
1 changed files with 8 additions and 3 deletions
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11
matlab/dynare_estimation_1.m
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@ -440,14 +440,19 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
% Tunes the jumping distribution's scale parameter
if options_.mh_tune_jscale.status
if strcmp(options_.posterior_sampler_options.posterior_sampling_method, 'random_walk_metropolis_hastings')
%get invhess in case of use_mh_covariance_matrix
posterior_sampler_options_temp = options_.posterior_sampler_options.current_options;
posterior_sampler_options_temp.invhess = invhess;
posterior_sampler_options_temp = check_posterior_sampler_options(posterior_sampler_options_temp, options_);
options = options_.mh_tune_jscale;
options.rwmh = options_.posterior_sampler_options.rwmh;
options_.mh_jscale = calibrate_mh_scale_parameter(objective_function, ...
invhess, xparam1, [bounds.lb,bounds.ub], ...
posterior_sampler_options_temp.invhess, xparam1, [bounds.lb,bounds.ub], ...
options, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_);
clear('posterior_sampler_options_temp','options')
bayestopt_.jscale(:) = options_.mh_jscale;
disp(sprintf('mh_jscale has been set equal to %s', num2str(options_.mh_jscale)))
skipline()
fprintf('mh_jscale has been set equal to %s\n', num2str(options_.mh_jscale))
else
warning('mh_tune_jscale is only available with Random Walk Metropolis Hastings!')
end