Cosmetic changes to various estimation routines
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@ -1,6 +1,20 @@
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function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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function [mean,variance] = GetPosteriorMeanVariance(M_,drop)
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%function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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% Computes the posterior mean and variance
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% (+updates of oo_ & TeX output).
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%
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% INPUTS
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% M_ [structure] Dynare model structure
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% drop [double] share of draws to drop
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%
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% OUTPUTS
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% mean [double] mean parameter vector
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% variance [double] variance
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright © 2012-2017 Dynare Team
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% Copyright © 2012-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -17,8 +31,8 @@ function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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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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MetropolisFolder = CheckPath('metropolis',M.dname);
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FileName = M.fname;
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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FileName = M_.fname;
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BaseName = [MetropolisFolder filesep FileName];
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record=load_last_mh_history_file(MetropolisFolder, FileName);
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NbrDraws = sum(record.MhDraws(:,1));
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@ -1,17 +1,18 @@
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function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
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% function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
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% This function prints and saves posterior estimates after the mcmc
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% (+updates of oo_ & TeX output).
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%
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% INPUTS
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% estim_params_ [structure]
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% M_ [structure]
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% options_ [structure]
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% bayestopt_ [structure]
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% oo_ [structure]
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% pnames [cell] cell of strings, names of the prior shapes available
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% estim_params_ [structure] Dynare estimation parameter structure
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% M_ [structure] Dynare model structure
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% options_ [structure] Dynare options structure
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% bayestopt_ [structure] Dynare structure describing priors
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% oo_ [structure] Dynare results structure
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% pnames [cell] cell of strings, names of the prior shapes available
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%
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% OUTPUTS
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% oo_ [structure]
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% oo_ [structure] Dynare results structure
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%
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% SPECIAL REQUIREMENTS
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% None.
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@ -50,7 +51,6 @@ FileName = M_.fname;
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record=load_last_mh_history_file(MetropolisFolder,FileName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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@ -68,12 +68,10 @@ skipline(2)
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disp('ESTIMATION RESULTS')
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skipline()
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try
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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catch
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[marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
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disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
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if ~isfield(oo_,'MarginalDensity') || ~isfield(oo_.MarginalDensity,'ModifiedHarmonicMean')
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[~,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
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end
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fprintf('\nLog data density is %f.\n', oo_.MarginalDensity.ModifiedHarmonicMean);
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num_draws=NumberOfDraws*mh_nblck;
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hpd_draws = round((1-options_.mh_conf_sig)*num_draws);
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@ -1,11 +1,12 @@
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function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
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% function McMCDiagnostics
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% function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
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% Computes convergence tests
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%
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% INPUTS
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% options_ [structure]
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% estim_params_ [structure]
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% M_ [structure]
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% options_ [structure] Dynare options structure
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% estim_params_ [structure] Dynare estimation parameter structure
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% M_ [structure] Dynare model structure
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% oo_ [structure] Dynare results structure
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%
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% OUTPUTS
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% oo_ [structure]
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@ -58,7 +59,6 @@ if issue_an_error_message
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end
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% compute inefficiency factor
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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@ -68,6 +68,7 @@ NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws
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param_name = {};
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param_name_tex = {};
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Ifac=NaN(nblck,npar);
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for jj = 1:npar
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if options_.TeX
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[par_name_temp, par_name_tex_temp] = get_the_name(jj, options_.TeX, M_,estim_params_, options_);
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@ -107,8 +108,6 @@ update_last_mh_history_file(MetropolisFolder, ModelName, record);
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PastDraws = sum(record.MhDraws,1);
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LastFileNumber = PastDraws(2);
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LastLineNumber = record.MhDraws(end,3);
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NumberOfDraws = PastDraws(1);
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if NumberOfDraws<=2000
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@ -217,8 +216,6 @@ ALPHA = 0.2; % increase too much with the number
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time = 1:NumberOfDraws;
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xx = Origin:StepSize:NumberOfDraws;
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NumberOfLines = length(xx);
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tmp = zeros(NumberOfDraws*nblck,3);
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UDIAG = zeros(NumberOfLines,6,npar);
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if NumberOfDraws < Origin
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disp('Estimation::mcmc::diagnostics: The number of simulations is too small to compute the MCMC convergence diagnostics.')
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@ -256,7 +253,6 @@ if isnumeric(options_.parallel)
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clear fout
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% Parallel execution!
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else
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ModelName = ModelName;
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if ~isempty(M_.bvar)
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ModelName = [ModelName '_bvar'];
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end
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@ -391,7 +387,7 @@ if reste
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fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(pages+1));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,'\n');
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fprintf(fidTeX,'% End Of TeX file.');
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fprintf(fidTeX,'%% End Of TeX file.');
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fclose(fidTeX);
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end
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end % if reste > 0
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@ -1,4 +1,5 @@
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function [mhname,info] = get_name_of_the_last_mh_file(M_)
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% function [mhname,info] = get_name_of_the_last_mh_file(M_)
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% This function returns the name of the last mh file and test if the metropolis was completed.
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%
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% INPUTS
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@ -28,7 +29,6 @@ function [mhname,info] = get_name_of_the_last_mh_file(M_)
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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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mhname = [];
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info = 1;
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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@ -1,16 +1,16 @@
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function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
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% function marginal = marginal_density()
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% function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
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% Computes the marginal density
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%
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% INPUTS
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% options_ [structure]
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% estim_params_ [structure]
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% M_ [structure]
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% oo_ [structure]
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% options_ [structure] Dynare options structure
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% estim_params_ [structure] Dynare estimation parameter structure
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% M_ [structure] Dynare model structure
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% oo_ [structure] Dynare results structure
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%
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% OUTPUTS
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% marginal: [double] marginal density (modified harmonic mean)
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% oo_ [structure]
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% marginal: [double] marginal density (modified harmonic mean)
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% oo_ [structure] Dynare results structure
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%
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% SPECIAL REQUIREMENTS
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% none
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@ -42,10 +42,9 @@ record=load_last_mh_history_file(MetropolisFolder, ModelName);
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[nblck, npar] = size(record.LastParameters);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
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fprintf('Estimation::marginal density: I''m computing the posterior mean and covariance... ');
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@ -1,5 +1,5 @@
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function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
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% function [xparams, logpost]=metropolis_draw(init)
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% function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
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% Builds draws from metropolis
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%
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% INPUTS:
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@ -62,8 +62,6 @@ if init
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record=load_last_mh_history_file(MetropolisFolder, FileName);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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LastMhFile = TotalNumberOfMhFiles;
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8); %number of parameters plus posterior plus ?
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@ -3,21 +3,20 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
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% Random Walk Metropolis-Hastings algorithm.
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%
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% INPUTS
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% o TargetFun [char] string specifying the name of the objective
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% function (posterior kernel).
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% o ProposalFun [char] string specifying the name of the proposal
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% density
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% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
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% o sampler_options structure
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% .invhess [double] (p*p) matrix, posterior covariance matrix (at the mode).
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% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
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% o dataset_ data structure
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% o dataset_info dataset info structure
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% o options_ options structure
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% o M_ model structure
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% o estim_params_ estimated parameters structure
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% o bayestopt_ estimation options structure
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% o oo_ outputs structure
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% o TargetFun [char] string specifying the name of the objective
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% function (posterior kernel).
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% o ProposalFun [char] string specifying the name of the proposal
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% density
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% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
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% o sampler_options structure
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% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
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% o dataset_ [structure] data structure
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% o dataset_info [structure] dataset info structure
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% o options_ [structure] options structure
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% o M_ [structure] model structure
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% o estim_params_ [structure] estimated parameters structure
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% o bayestopt_ [structure] prior specification structure
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% o oo_ [structure] output structure
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%
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% SPECIAL REQUIREMENTS
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% None.
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@ -58,16 +58,9 @@ function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npa
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%Initialize outputs
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ix2 = [];
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ilogpo2 = [];
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ModelName = [];
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MetropolisFolder = [];
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FirstBlock = [];
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FirstLine = [];
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npar = [];
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NumberOfBlocks = [];
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nruns = [];
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NewFile = [];
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MAX_nruns = [];
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d = [];
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ModelName = M_.fname;
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if ~isempty(M_.bvar)
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@ -171,7 +164,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
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else
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bayestopt0 = load([PreviousFolder0 filesep 'prior' filesep 'definition.mat']);
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end
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[common_parameters,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
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[~,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
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new_estimated_parameters = ~ismember(bayestopt_.name,bayestopt0.bayestopt_.name);
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ix2 = zeros(NumberOfBlocks,npar);
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ilogpo2 = zeros(NumberOfBlocks,1);
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@ -1,6 +1,5 @@
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function prior_posterior_statistics(type,dataset,dataset_info)
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% function prior_posterior_statistics(type,dataset)
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% function prior_posterior_statistics(type,dataset,dataset_info)
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% Computes Monte Carlo filter smoother and forecasts
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%
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% INPUTS
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@ -8,6 +7,7 @@ function prior_posterior_statistics(type,dataset,dataset_info)
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% prior
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% gsa
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% dataset: data structure
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% dataset_info: dataset structure
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%
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% OUTPUTS
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% none
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@ -208,13 +208,11 @@ localVars.ifil=ifil;
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localVars.DirectoryName = DirectoryName;
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if strcmpi(type,'posterior')
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BaseName = [DirectoryName filesep M_.fname];
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record=load_last_mh_history_file(DirectoryName, M_.fname);
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[nblck, npar] = size(record.LastParameters);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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LastMhFile = TotalNumberOfMhFiles;
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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mh_nblck = options_.mh_nblck;
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return
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end
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if ~isnumeric(options_.parallel),
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if ~isnumeric(options_.parallel)
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leaveSlaveOpen = options_.parallel_info.leaveSlaveOpen;
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if options_.parallel_info.leaveSlaveOpen == 0,
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if options_.parallel_info.leaveSlaveOpen == 0
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% Commenting for testing!!!
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options_.parallel_info.leaveSlaveOpen = 1; % Force locally to leave open remote matlab sessions (repeated pm3 calls)
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end
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