v4.1:

+ Moved functions located in ./distribution to ./distributions/toolbox
+ Moved distribution related functions to ./distributions

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2055 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/dynare_config.m

@@ -37,10 +37,11 @@ if nargin
 end
 dynareroot = strrep(which('dynare.m'),'dynare.m','');
 
+addpath([dynareroot '/distributions/'])
 % Add path to distribution-related function if under Matlab
 % without the statistics toolbox
 if ~exist('OCTAVE_VERSION') && isempty(ver('stats'))
-    addpath([dynareroot '/distributions/'])
+    addpath([dynareroot '/distributions/toolbox/'])
 end
 
 if exist([dynareroot '/AIM'])==7  % Add path to G.Anderson AIM solver (added by GP July'08)

matlab/inverse_gamma_specification.m

@@ -1,76 +0,0 @@
-function [s,nu] = inverse_gamma_specification(mu,sigma,type)
-
-% function [s,nu] = inverse_gamma_specification(mu,sigma,type)
-% Specification of the inverse Gamma function parameters
-% X ~ IG(s,nu)
-%
-% INPUTS
-%    mu:      expectation
-%    sigma:   standard deviation 
-%    type=1:  inverse Gamma 1 
-%    type=2:  inverse Gamma 2 
-
-% OUTPUTS
-%    s:       shape parameter
-%    nu:      scale parameter 
-%        
-% SPECIAL REQUIREMENTS
-%    none
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-
-sigma2 = sigma^2;
-mu2 = mu^2;
-
-if type == 2;       % Inverse Gamma 2   
-   nu   = 2*(2+mu2/sigma2);
-   s    = 2*mu*(1+mu2/sigma2);
-elseif type == 1;   % Inverse Gamma 1 
-    if sigma2 < Inf;
-      nu = sqrt(2*(2+mu2/sigma2));
-      nu2 = 2*nu;
-      nu1 = 2;
-      err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
-      while abs(nu2-nu1) > 1e-12
-	if err > 0
-	  nu1 = nu;
-	  if nu < nu2
-	    nu = nu2;
-	  else
-	    nu = 2*nu;
-	    nu2 = nu;
-	  end
-	else
-	  nu2 = nu;
-	end
-	nu =  (nu1+nu2)/2;
-	err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
-      end
-      s = (sigma2+mu2)*(nu-2);
-    else;
-        nu  = 2;
-        s   = 2*mu2/pi;
-    end;   
-else;
-   s  = -1;
-   nu = -1;
-end;
-
-% 01/18/2004 MJ replaced fsolve with secant
-%               suppressed chck
-%	        changed order of output parameters

matlab/multivariate_normal_pdf.m

@@ -1,36 +0,0 @@
-function density = multivariate_normal_pdf(X,Mean,Sigma_upper_chol,n);
-% Evaluates the density of a multivariate gaussian, with expectation Mean
-% and variance Sigma_upper_chol'*Sigma_upper_chol, at X.
-% 
-%
-% INPUTS 
-%
-%    X                  [double]    1*n vector        
-%    Mean               [double]    1*n vector, expectation of the multivariate random variable.
-%    Sigma_upper_chol   [double]    n*n matrix, upper triangular Cholesky decomposition of Sigma (the covariance matrix).
-%    n                  [integer]   dimension.
-%    
-% OUTPUTS 
-%    density            [double]    density 
-%        
-% SPECIAL REQUIREMENTS
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-    density = (2*pi)^(-.5*n) * ... 
-              prod(diag(Sigma_upper_chol))^(-1) * ...
-              exp(-.5*(X-Mean)*(Sigma_upper_chol\(transpose(Sigma_upper_chol)\transpose(X-Mean))));

matlab/multivariate_student_pdf.m

@@ -1,36 +0,0 @@
-function density = multivariate_student_pdf(X,Mean,Sigma_upper_chol,df);
-% Evaluates the density of a multivariate student, with expectation Mean,
-% variance Sigma_upper_chol'*Sigma_upper_chol and degrees of freedom df, at X.
-%
-% INPUTS 
-%
-%    X                  [double]    1*n vector        
-%    Mean               [double]    1*n vector, expectation of the multivariate random variable.
-%    Sigma_upper_chol   [double]    n*n matrix, upper triangular Cholesky decomposition of Sigma (the "covariance matrix").
-%    df                 [integer]   degrees of freedom.
-%    
-% OUTPUTS 
-%    density            [double]    density. 
-%        
-% SPECIAL REQUIREMENTS
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-    nn = length(X);
-    t1 = gamma( .5*(nn+df) ) / ( gamma( .5*nn ) * (df*pi)^(.5*nn) ) ;
-    t2 = t1 / prod(diag(Sigma_upper_chol)) ;
-    density = t2 / ( 1 + (X-Mean)*(Sigma_upper_chol\(transpose(Sigma_upper_chol)\transpose(X-Mean)))/df )^(.5*(nn+df));

matlab/rand_inverse_wishart.m

@@ -1,53 +0,0 @@
-function G = rand_inverse_wishart(m, v, H_inv_upper_chol)
-
-% function G = rand_inverse_wishart(m, v, H_inv_upper_chol)
-% rand_inverse_wishart  Pseudo random matrices drawn from an
-% inverse Wishart distribution
-% G = rand_inverse_wishart(m, v, H_inv_upper_chol)
-% Returns an m-by-m matrix drawn from an inverse-Wishart distribution.
-%
-% INPUTS:
-%     m:          dimension of G and H_inv_upper_chol.
-%     v:          degrees of freedom, greater or equal than m.
-%     H_inv_chol: upper cholesky decomposition of the inverse of the
-%                 matrix parameter.
-%                 The upper cholesky of the inverse is requested here
-%                 in order to avoid to recompute it at every random draw.
-%                 H_inv_upper_chol = chol(inv(H))
-% OUTPUTS:
-%     G:          G ~ IW(m, v, H) where H = inv(H_inv_upper_chol'*H_inv_upper_chol)
-%                 or, equivalently, using the correspondence between Wishart and
-%                 inverse-Wishart: inv(G) ~ W(m, v, S) where 
-%                 S = H_inv_upper_chol'*H_inv_upper_chol = inv(H)
-%  
-% SPECIAL REQUIREMENT
-%     none
-%    
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-
-    X = randn(v, m) * H_inv_upper_chol; 
-    
-    
-    % At this point, X'*X is Wishart distributed
-    % G = inv(X'*X);
-
-    % Rather compute inv(X'*X) using the SVD
-    [U,S,V] = svd(X, 0);
-    SSi = 1 ./ (diag(S) .^ 2);
-    G = (V .* repmat(SSi', m, 1)) * V';

matlab/rand_matrix_normal.m

@@ -1,43 +0,0 @@
-function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
-
-% function B = rand_matrix_normal(n, p, M, Omega_lower_chol, Sigma_lower_chol)
-% Pseudo random matrices drawn from a matrix-normal distribution
-% B ~ MN_n*p(M, Omega, Sigma) 
-% Equivalent to vec(B) ~ N(vec(Mu), kron(Omega, Sigma))
-%
-% INPUTS
-%    n:                 row
-%    p:                 column
-%    M:                 (n*p) matrix, mean
-%    Omega_lower_chol:  (p*p), lower Cholesky decomposition of Omega,
-%                       (Omega_lower_chol = chol(Omega, 'lower'))
-%    Sigma_lower_chol:  (n*n), lower Cholesky decomposition of Sigma,
-%                       (Sigma_lower_chol = chol(Sigma, 'lower'))
-%    
-% OUTPUTS
-%    B:                 (n*p) matrix drawn from a Matrix-normal distribution
-%        
-% SPECIAL REQUIREMENTS
-%    Same notations than: http://en.wikipedia.org/wiki/Matrix_normal_distribution
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-
-    B1 = randn(n * p, 1);
-    B2 = kron(Omega_lower_chol, Sigma_lower_chol) * B1;
-    B3 = reshape(B2, n, p);
-    B = B3 + M;

matlab/rand_multivariate_normal.m

@@ -1,34 +0,0 @@
-function draw = rand_multivariate_normal(Mean,Sigma_upper_chol,n)
-% Pseudo random draws from a multivariate normal distribution,
-% \mathcal N_n(Mean,Sigma), with expectation Mean and variance Sigma.
-%
-% INPUTS 
-%
-%    Mean               [double]    1*n vector, expectation of the multivariate random variable.
-%    Sigma_upper_chol   [double]    n*n matrix, upper triangular Cholesky decomposition of Sigma (the covariance matrix).
-%    n                  [integer]   dimension.
-%    
-% OUTPUTS 
-%    draw               [double]    1*n vector drawn from a multivariate normal distribution with expectation Mean and
-%                                   covariance Sigma 
-%        
-% SPECIAL REQUIREMENTS
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-
-    draw = Mean + randn(1,n) * Sigma_upper_chol;

matlab/rand_multivariate_student.m

@@ -1,39 +0,0 @@
-function draw = rand_multivariate_student(Mean,Sigma_upper_chol,df)
-% Pseudo random draws from a multivariate student distribution,
-% with expectation Mean, variance Sigma*df/(df-2) and degrees of freedom df>0.
-%
-% INPUTS 
-%
-%    Mean               [double]    1*n vector, expectation of the multivariate random variable.
-%    Sigma_upper_chol   [double]    n*n matrix, upper triangular Cholesky decomposition of Sigma 
-%                                   (the covariance matrix up to a factor df/(df-2)).
-%    df                 [integer]   degrees of freedom.
-%    
-% OUTPUTS 
-%    draw               [double]    1*n vector drawn from a multivariate normal distribution with expectation Mean and
-%                                   covariance Sigma.
-%        
-% REMARK This is certainly not the most efficient way...
-%
-% NOTE See Zellner (appendix B.2, 1971) for a definition.     
-%    
-
-% Copyright (C) 2003-2008 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
-
-    n = length(Mean);
-    draw = Mean + randn(1,n) * Sigma_upper_chol * sqrt(df/sum(randn(df,1).^2));