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Provisions for new options 

pvalue_ks
pvalue_corr
time-shift
Marco Ratto 2011-07-07 09:48:06 +02:00
parent 0b1188c923
commit 80582b19bd
4 changed files with 47 additions and 33 deletions
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2
matlab/dynare_sensitivity.m
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@ -109,6 +109,8 @@ options_gsa = set_default_option(options_gsa,'load_rmse',0);
options_gsa = set_default_option(options_gsa,'load_stab',0); options_gsa = set_default_option(options_gsa,'load_stab',0);
options_gsa = set_default_option(options_gsa,'alpha2_stab',0.3); options_gsa = set_default_option(options_gsa,'alpha2_stab',0.3);
options_gsa = set_default_option(options_gsa,'ksstat',0.1); options_gsa = set_default_option(options_gsa,'ksstat',0.1);
options_gsa = set_default_option(options_gsa,'pvalue_ks',0.001);
options_gsa = set_default_option(options_gsa,'pvalue_corr',0.001);
%options_gsa = set_default_option(options_gsa,'load_mh',0); %options_gsa = set_default_option(options_gsa,'load_mh',0);
if options_gsa.redform, if options_gsa.redform,

50
matlab/gsa/stab_map_.m
View File

@ -56,6 +56,8 @@ Nsam = opt_gsa.Nsam;
fload = opt_gsa.load_stab; fload = opt_gsa.load_stab;
ksstat = opt_gsa.ksstat; ksstat = opt_gsa.ksstat;
alpha2 = opt_gsa.alpha2_stab; alpha2 = opt_gsa.alpha2_stab;
pvalue_ks = opt_gsa.pvalue_ks;
pvalue_corr = opt_gsa.pvalue_corr;
prepSA = (opt_gsa.redform | opt_gsa.identification); prepSA = (opt_gsa.redform | opt_gsa.identification);
pprior = opt_gsa.pprior; pprior = opt_gsa.pprior;
neighborhood_width = opt_gsa.neighborhood_width; neighborhood_width = opt_gsa.neighborhood_width;
@ -252,7 +254,7 @@ if fload==0,
egg=zeros(length(dr_.eigval),Nsam); egg=zeros(length(dr_.eigval),Nsam);
end end
if infox{j}, if infox{j},
disp('no solution'), % disp('no solution'),
if isfield(oo_.dr,'ghx'), if isfield(oo_.dr,'ghx'),
oo_.dr=rmfield(oo_.dr,'ghx'); oo_.dr=rmfield(oo_.dr,'ghx');
end end
@ -448,22 +450,23 @@ delete([OutputDirectoryName,'/',fname_,'_',aunstname,'_corr_*.*']);
delete([OutputDirectoryName,'/',fname_,'_',aindname,'_corr_*.*']); delete([OutputDirectoryName,'/',fname_,'_',aindname,'_corr_*.*']);
if length(iunstable)>0 & length(iunstable)<Nsam, if length(iunstable)>0 & length(iunstable)<Nsam,
disp([num2str(length(istable)/Nsam*100,3),'\% of the prior support is stable.']) fprintf(['%4.1f%% of the prior support is stable.\n'],length(istable)/Nsam*100)
disp([num2str( (length(iunstable)-length(iwrong)-length(iindeterm) )/Nsam*100),'\% of the prior support is unstable.']) fprintf(['%4.1f%% of the prior support is unstable.\n'],(length(iunstable)-length(iwrong)-length(iindeterm) )/Nsam*100)
if ~isempty(iindeterm), if ~isempty(iindeterm),
disp([num2str(length(iindeterm)/Nsam*100,3),'\% of the prior support gives indeterminacy.']) fprintf(['%4.1f%% of the prior support gives indeterminacy.'],length(iindeterm)/Nsam*100)
end end
if ~isempty(iwrong), if ~isempty(iwrong),
disp(' '); disp(' ');
disp(['For ',num2str(length(iwrong)/Nsam*100,3),'\% of the prior support dynare could not find a solution.']) disp(['For ',num2str(length(iwrong)/Nsam*100,'%1.3f'),'\% of the prior support dynare could not find a solution.'])
end end
disp(' '); disp(' ');
% Blanchard Kahn % Blanchard Kahn
[proba, dproba] = stab_map_1(lpmat, istable, iunstable, aname,0); [proba, dproba] = stab_map_1(lpmat, istable, iunstable, aname,0);
indstab=find(dproba>ksstat); % indstab=find(dproba>ksstat);
indstab=find(proba<pvalue_ks);
disp('Smirnov statistics in driving acceptable behaviour') disp('Smirnov statistics in driving acceptable behaviour')
for j=1:np, for j=1:length(indstab),
disp([M_.param_names(estim_params_.param_vals(j,1),:),' d-stat = ', num2str(dproba(j),3)]) disp([M_.param_names(estim_params_.param_vals(indstab(j),1),:),' d-stat = ', num2str(dproba(indstab(j)),'%1.3f'),' p-value = ', num2str(proba(indstab(j)),'%1.3f')])
end end
disp(' '); disp(' ');
if ~isempty(indstab) if ~isempty(indstab)
@ -472,10 +475,11 @@ if length(iunstable)>0 & length(iunstable)<Nsam,
ixun=iunstable(find(~ismember(iunstable,[iindeterm,iwrong]))); ixun=iunstable(find(~ismember(iunstable,[iindeterm,iwrong])));
if ~isempty(iindeterm), if ~isempty(iindeterm),
[proba, dproba] = stab_map_1(lpmat, [1:Nsam], iindeterm, [aname, '_indet'],0); [proba, dproba] = stab_map_1(lpmat, [1:Nsam], iindeterm, [aname, '_indet'],0);
indindet=find(dproba>ksstat); % indindet=find(dproba>ksstat);
indindet=find(proba<pvalue_ks);
disp('Smirnov statistics in driving indeterminacy') disp('Smirnov statistics in driving indeterminacy')
for j=1:np, for j=1:length(indindet),
disp([M_.param_names(estim_params_.param_vals(j,1),:),' d-stat = ', num2str(dproba(j),3)]) disp([M_.param_names(estim_params_.param_vals(indindet(j),1),:),' d-stat = ', num2str(dproba(indindet(j)),'%1.3f'),' p-value = ', num2str(proba(indindet(j)),'%1.3f')])
end end
disp(' '); disp(' ');
if ~isempty(indindet) if ~isempty(indindet)
@ -485,10 +489,11 @@ if length(iunstable)>0 & length(iunstable)<Nsam,
if ~isempty(ixun), if ~isempty(ixun),
[proba, dproba] = stab_map_1(lpmat, [1:Nsam], ixun, [aname, '_unst'],0); [proba, dproba] = stab_map_1(lpmat, [1:Nsam], ixun, [aname, '_unst'],0);
indunst=find(dproba>ksstat); % indunst=find(dproba>ksstat);
indunst=find(proba<pvalue_ks);
disp('Smirnov statistics in driving instability') disp('Smirnov statistics in driving instability')
for j=1:np, for j=1:length(indunst),
disp([M_.param_names(estim_params_.param_vals(j,1),:),' d-stat = ', num2str(dproba(j),3)]) disp([M_.param_names(estim_params_.param_vals(indunst(j),1),:),' d-stat = ', num2str(dproba(indunst(j)),'%1.3f'),' p-value = ', num2str(proba(indunst(j)),'%1.3f')])
end end
disp(' '); disp(' ');
if ~isempty(indunst) if ~isempty(indunst)
@ -498,10 +503,11 @@ if length(iunstable)>0 & length(iunstable)<Nsam,
if ~isempty(iwrong), if ~isempty(iwrong),
[proba, dproba] = stab_map_1(lpmat, [1:Nsam], iwrong, [aname, '_wrong'],0); [proba, dproba] = stab_map_1(lpmat, [1:Nsam], iwrong, [aname, '_wrong'],0);
indwrong=find(dproba>ksstat); % indwrong=find(dproba>ksstat);
indwrong=find(proba<pvalue_ks);
disp('Smirnov statistics in driving no solution') disp('Smirnov statistics in driving no solution')
for j=1:np, for j=1:length(indwrong),
disp([M_.param_names(estim_params_.param_vals(j,1),:),' d-stat = ', num2str(dproba(j),3)]) disp([M_.param_names(estim_params_.param_vals(indwrong(j),1),:),' d-stat = ', num2str(dproba(indwrong(j)),'%1.3f'),' p-value = ', num2str(proba(indwrong(j)),'%1.3f')])
end end
disp(' '); disp(' ');
if ~isempty(indwrong) if ~isempty(indwrong)
@ -515,18 +521,18 @@ if length(iunstable)>0 & length(iunstable)<Nsam,
c0=corrcoef(lpmat(istable,:)); c0=corrcoef(lpmat(istable,:));
c00=tril(c0,-1); c00=tril(c0,-1);
stab_map_2(lpmat(istable,:),alpha2, asname, OutputDirectoryName); stab_map_2(lpmat(istable,:),alpha2, pvalue_corr, asname, OutputDirectoryName);
if length(iunstable)>10, if length(iunstable)>10,
stab_map_2(lpmat(iunstable,:),alpha2, auname, OutputDirectoryName); stab_map_2(lpmat(iunstable,:),alpha2, pvalue_corr, auname, OutputDirectoryName);
end end
if length(iindeterm)>10, if length(iindeterm)>10,
stab_map_2(lpmat(iindeterm,:),alpha2, aindname, OutputDirectoryName); stab_map_2(lpmat(iindeterm,:),alpha2, pvalue_corr, aindname, OutputDirectoryName);
end end
if length(ixun)>10, if length(ixun)>10,
stab_map_2(lpmat(ixun,:),alpha2, aunstname, OutputDirectoryName); stab_map_2(lpmat(ixun,:),alpha2, pvalue_corr, aunstname, OutputDirectoryName);
end end
if length(iwrong)>10, if length(iwrong)>10,
stab_map_2(lpmat(iwrong,:),alpha2, awrongname, OutputDirectoryName); stab_map_2(lpmat(iwrong,:),alpha2, pvalue_corr, awrongname, OutputDirectoryName);
end end
x0=0.5.*(bayestopt_.ub(1:nshock)-bayestopt_.lb(1:nshock))+bayestopt_.lb(1:nshock); x0=0.5.*(bayestopt_.ub(1:nshock)-bayestopt_.lb(1:nshock))+bayestopt_.lb(1:nshock);

14
matlab/gsa/stab_map_1.m
View File

@ -1,5 +1,5 @@
function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, iplot, ipar, dirname, dcrit) function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, iplot, ipar, dirname, pcrit)
%function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, iplot, ipar, dirname, dcrit) %function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, iplot, ipar, dirname, pcrit)
% %
% lpmat = Monte Carlo matrix % lpmat = Monte Carlo matrix
% ibehaviour = index of behavioural runs % ibehaviour = index of behavioural runs
@ -10,7 +10,7 @@ function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, i
% ipar = index array of parameters to plot % ipar = index array of parameters to plot
% dirname = (OPTIONAL) path of the directory where to save % dirname = (OPTIONAL) path of the directory where to save
% (default: current directory) % (default: current directory)
% dcrit = (OPTIONAL) critical value of the D-stat above which show the plots % pcrit = (OPTIONAL) critical value of the pvalue below which show the plots
% %
% Plots: dotted lines for BEHAVIOURAL % Plots: dotted lines for BEHAVIOURAL
% solid lines for NON BEHAVIOURAL % solid lines for NON BEHAVIOURAL
@ -54,7 +54,7 @@ if nargin<6,
ipar=[]; ipar=[];
end end
if nargin<8 || isempty(dcrit), if nargin<8 || isempty(dcrit),
dcrit=0; pcrit=1;
end end
% Smirnov test for Blanchard; % Smirnov test for Blanchard;
@ -64,7 +64,8 @@ for j=1:npar,
dproba(j)=KSSTAT; dproba(j)=KSSTAT;
end end
if isempty(ipar), if isempty(ipar),
ipar=find(dproba>dcrit); % ipar=find(dproba>dcrit);
ipar=find(proba<pcrit);
end end
nparplot=length(ipar); nparplot=length(ipar);
if iplot if iplot
@ -84,7 +85,8 @@ for i=1:ceil(nparplot/12),
h=cumplot(lpmat(inonbehaviour,j)); h=cumplot(lpmat(inonbehaviour,j));
set(h,'color',[0 0 0]) set(h,'color',[0 0 0])
end end
title([ftit{j},'. D-stat ', num2str(dproba(ipar(j)),2)],'interpreter','none') % title([ftit{j},'. D-stat ', num2str(dproba(ipar(j)),2)],'interpreter','none')
title([ftit{j},'. p-value ', num2str(proba(ipar(j)),2)],'interpreter','none')
end end
saveas(gcf,[dirname,'/',fname_,'_',aname,'_SA_',int2str(i)]) saveas(gcf,[dirname,'/',fname_,'_',aname,'_SA_',int2str(i)])
eval(['print -depsc2 ' dirname '/' fname_ '_' aname '_SA_' int2str(i)]); eval(['print -depsc2 ' dirname '/' fname_ '_' aname '_SA_' int2str(i)]);

14
matlab/gsa/stab_map_2.m
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@ -1,6 +1,5 @@
%function stab_map_2(x,alpha2,istab,fnam) function stab_map_2(x,alpha2, pvalue, fnam, dirname)
function stab_map_2(x,alpha2,fnam, dirname) % function stab_map_2(x, alpha2, pvalue, fnam, dirname)
% function stab_map_2(x,alpha2,fnam, dirname)
% %
% Part of the Sensitivity Analysis Toolbox for DYNARE % Part of the Sensitivity Analysis Toolbox for DYNARE
% %
@ -22,11 +21,12 @@ function stab_map_2(x,alpha2,fnam, dirname)
global bayestopt_ estim_params_ options_ oo_ M_ global bayestopt_ estim_params_ options_ oo_ M_
npar=size(x,2); npar=size(x,2);
nsam=size(x,1);
ishock= npar>estim_params_.np; ishock= npar>estim_params_.np;
if nargin<3, if nargin<4,
fnam=''; fnam='';
end end
if nargin<4, if nargin<5,
dirname=''; dirname='';
end end
@ -53,6 +53,9 @@ for j=1:npar,
i2=find(abs(c00(:,j))>alpha2); i2=find(abs(c00(:,j))>alpha2);
if length(i2)>0, if length(i2)>0,
for jx=1:length(i2), for jx=1:length(i2),
tval = abs(c00(i2(jx),j)*sqrt( (nsam-2)/(1-c00(i2(jx),j)^2) ));
tcr = tcrit(nsam-2,pvalue);
if tval>tcr,
j2=j2+1; j2=j2+1;
if mod(j2,12)==1, if mod(j2,12)==1,
ifig=ifig+1; ifig=ifig+1;
@ -81,6 +84,7 @@ for j=1:npar,
eval(['print -dpdf ' dirname '/' fig_nam_ int2str(ifig)]); eval(['print -dpdf ' dirname '/' fig_nam_ int2str(ifig)]);
if options_.nograph, close(gcf), end if options_.nograph, close(gcf), end
end end
end
end end
end end
if (j==(npar)) & j2>0, if (j==(npar)) & j2>0,