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adding missing function to compute mean and covariance matrix of 

Metropolis sample
time-shift
Michel Juillard 2012-04-23 13:36:37 +02:00
parent 8d4834de38
commit 7ddab426b5
1 changed files with 38 additions and 0 deletions
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matlab/GetPosteriorMeanVariance.m Normal file
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function [mean,variance] = GetPosteriorMeanVariance(M,drop)
DirectoryName = CheckPath('metropolis',M.dname);
o=load([ DirectoryName '/' M.fname '_mh_history']);
NbrDraws = sum(o.record.MhDraws(:,1));
NbrFiles = sum(o.record.MhDraws(:,2));
NbrBlocks = o.record.Nblck;
mean = 0;
variance = 0;
z = [];
fname1 = [DirectoryName '/' M.fname];
nkept = 0;
for i=1:NbrBlocks
n = 0;
for j=1:NbrFiles
o = load([fname1 '_mh' int2str(j) '_blck' int2str(i)]);
m = size(o.x2,1);
if n + m < drop*NbrDraws
n = n + m;
continue
elseif n < drop*NbrDraws
k = drop*NbrDraws - n + 1;
x2 = o.x2(k:end,:);
else
x2 = o.x2;
end
z =[z; x2];
p = size(x2,1);
mean = (nkept*mean + sum(x2)')/(nkept+p);
x = bsxfun(@minus,x2,mean');
variance = (nkept*variance + x'*x)/(nkept+p);
n = n + m;
nkept = nkept + p;
end
end