diff --git a/matlab/GetPosteriorMeanVariance.m b/matlab/GetPosteriorMeanVariance.m
index 562f39486..5a2c44af2 100644
--- a/matlab/GetPosteriorMeanVariance.m
+++ b/matlab/GetPosteriorMeanVariance.m
@@ -1,6 +1,20 @@
-function [mean,variance] = GetPosteriorMeanVariance(M,drop)
+function [mean,variance] = GetPosteriorMeanVariance(M_,drop)
+%function [mean,variance] = GetPosteriorMeanVariance(M,drop)
+% Computes the posterior mean and variance
+% (+updates of oo_ & TeX output).
+%
+% INPUTS
+% M_ [structure] Dynare model structure
+% drop [double] share of draws to drop
+%
+% OUTPUTS
+% mean [double] mean parameter vector
+% variance [double] variance
+%
+% SPECIAL REQUIREMENTS
+% None.
-% Copyright © 2012-2017 Dynare Team
+% Copyright © 2012-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -17,8 +31,8 @@ function [mean,variance] = GetPosteriorMeanVariance(M,drop)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see .
-MetropolisFolder = CheckPath('metropolis',M.dname);
-FileName = M.fname;
+MetropolisFolder = CheckPath('metropolis',M_.dname);
+FileName = M_.fname;
BaseName = [MetropolisFolder filesep FileName];
record=load_last_mh_history_file(MetropolisFolder, FileName);
NbrDraws = sum(record.MhDraws(:,1));
diff --git a/matlab/GetPosteriorParametersStatistics.m b/matlab/GetPosteriorParametersStatistics.m
index dee97ac76..b7713b66d 100644
--- a/matlab/GetPosteriorParametersStatistics.m
+++ b/matlab/GetPosteriorParametersStatistics.m
@@ -1,17 +1,18 @@
function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
+% function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, pnames)
% This function prints and saves posterior estimates after the mcmc
% (+updates of oo_ & TeX output).
%
% INPUTS
-% estim_params_ [structure]
-% M_ [structure]
-% options_ [structure]
-% bayestopt_ [structure]
-% oo_ [structure]
-% pnames [cell] cell of strings, names of the prior shapes available
+% estim_params_ [structure] Dynare estimation parameter structure
+% M_ [structure] Dynare model structure
+% options_ [structure] Dynare options structure
+% bayestopt_ [structure] Dynare structure describing priors
+% oo_ [structure] Dynare results structure
+% pnames [cell] cell of strings, names of the prior shapes available
%
% OUTPUTS
-% oo_ [structure]
+% oo_ [structure] Dynare results structure
%
% SPECIAL REQUIREMENTS
% None.
@@ -50,7 +51,6 @@ FileName = M_.fname;
record=load_last_mh_history_file(MetropolisFolder,FileName);
-FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
@@ -68,12 +68,10 @@ skipline(2)
disp('ESTIMATION RESULTS')
skipline()
-try
- disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
-catch
- [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
- disp(sprintf('Log data density is %f.', oo_.MarginalDensity.ModifiedHarmonicMean))
+if ~isfield(oo_,'MarginalDensity') || ~isfield(oo_.MarginalDensity,'ModifiedHarmonicMean')
+ [~,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
end
+fprintf('\nLog data density is %f.\n', oo_.MarginalDensity.ModifiedHarmonicMean);
num_draws=NumberOfDraws*mh_nblck;
hpd_draws = round((1-options_.mh_conf_sig)*num_draws);
diff --git a/matlab/convergence_diagnostics/McMCDiagnostics.m b/matlab/convergence_diagnostics/McMCDiagnostics.m
index 1d0da5d61..cbe02ce8d 100644
--- a/matlab/convergence_diagnostics/McMCDiagnostics.m
+++ b/matlab/convergence_diagnostics/McMCDiagnostics.m
@@ -1,11 +1,12 @@
function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
-% function McMCDiagnostics
+% function oo_ = McMCDiagnostics(options_, estim_params_, M_, oo_)
% Computes convergence tests
%
% INPUTS
-% options_ [structure]
-% estim_params_ [structure]
-% M_ [structure]
+% options_ [structure] Dynare options structure
+% estim_params_ [structure] Dynare estimation parameter structure
+% M_ [structure] Dynare model structure
+% oo_ [structure] Dynare results structure
%
% OUTPUTS
% oo_ [structure]
@@ -58,7 +59,6 @@ if issue_an_error_message
end
% compute inefficiency factor
-FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
@@ -68,6 +68,7 @@ NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws
param_name = {};
param_name_tex = {};
+Ifac=NaN(nblck,npar);
for jj = 1:npar
if options_.TeX
[par_name_temp, par_name_tex_temp] = get_the_name(jj, options_.TeX, M_,estim_params_, options_);
@@ -107,8 +108,6 @@ update_last_mh_history_file(MetropolisFolder, ModelName, record);
PastDraws = sum(record.MhDraws,1);
-LastFileNumber = PastDraws(2);
-LastLineNumber = record.MhDraws(end,3);
NumberOfDraws = PastDraws(1);
if NumberOfDraws<=2000
@@ -217,8 +216,6 @@ ALPHA = 0.2; % increase too much with the number
time = 1:NumberOfDraws;
xx = Origin:StepSize:NumberOfDraws;
NumberOfLines = length(xx);
-tmp = zeros(NumberOfDraws*nblck,3);
-UDIAG = zeros(NumberOfLines,6,npar);
if NumberOfDraws < Origin
disp('Estimation::mcmc::diagnostics: The number of simulations is too small to compute the MCMC convergence diagnostics.')
@@ -256,7 +253,6 @@ if isnumeric(options_.parallel)
clear fout
% Parallel execution!
else
- ModelName = ModelName;
if ~isempty(M_.bvar)
ModelName = [ModelName '_bvar'];
end
@@ -391,7 +387,7 @@ if reste
fprintf(fidTeX,'\\label{Fig:UnivariateDiagnostics:%s}\n',int2str(pages+1));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,'\n');
- fprintf(fidTeX,'% End Of TeX file.');
+ fprintf(fidTeX,'%% End Of TeX file.');
fclose(fidTeX);
end
end % if reste > 0
diff --git a/matlab/get_name_of_the_last_mh_file.m b/matlab/get_name_of_the_last_mh_file.m
index 6c9ccca24..1ddf7a060 100644
--- a/matlab/get_name_of_the_last_mh_file.m
+++ b/matlab/get_name_of_the_last_mh_file.m
@@ -1,4 +1,5 @@
function [mhname,info] = get_name_of_the_last_mh_file(M_)
+% function [mhname,info] = get_name_of_the_last_mh_file(M_)
% This function returns the name of the last mh file and test if the metropolis was completed.
%
% INPUTS
@@ -28,7 +29,6 @@ function [mhname,info] = get_name_of_the_last_mh_file(M_)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see .
-mhname = [];
info = 1;
MetropolisFolder = CheckPath('metropolis',M_.dname);
diff --git a/matlab/marginal_density.m b/matlab/marginal_density.m
index 8eb56bed4..48014ba61 100644
--- a/matlab/marginal_density.m
+++ b/matlab/marginal_density.m
@@ -1,16 +1,16 @@
function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
-% function marginal = marginal_density()
+% function [marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_)
% Computes the marginal density
%
% INPUTS
-% options_ [structure]
-% estim_params_ [structure]
-% M_ [structure]
-% oo_ [structure]
+% options_ [structure] Dynare options structure
+% estim_params_ [structure] Dynare estimation parameter structure
+% M_ [structure] Dynare model structure
+% oo_ [structure] Dynare results structure
%
% OUTPUTS
-% marginal: [double] marginal density (modified harmonic mean)
-% oo_ [structure]
+% marginal: [double] marginal density (modified harmonic mean)
+% oo_ [structure] Dynare results structure
%
% SPECIAL REQUIREMENTS
% none
@@ -42,10 +42,9 @@ record=load_last_mh_history_file(MetropolisFolder, ModelName);
[nblck, npar] = size(record.LastParameters);
FirstMhFile = record.KeepedDraws.FirstMhFile;
-FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
+FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
-MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
fprintf('Estimation::marginal density: I''m computing the posterior mean and covariance... ');
diff --git a/matlab/metropolis_draw.m b/matlab/metropolis_draw.m
index b5dbe38e4..690dcac5d 100644
--- a/matlab/metropolis_draw.m
+++ b/matlab/metropolis_draw.m
@@ -1,5 +1,5 @@
function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
-% function [xparams, logpost]=metropolis_draw(init)
+% function [xparams, logpost, options_]=metropolis_draw(init,options_,estim_params_,M_)
% Builds draws from metropolis
%
% INPUTS:
@@ -62,8 +62,6 @@ if init
record=load_last_mh_history_file(MetropolisFolder, FileName);
FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
- TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
- LastMhFile = TotalNumberOfMhFiles;
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8); %number of parameters plus posterior plus ?
diff --git a/matlab/posterior_sampler.m b/matlab/posterior_sampler.m
index d16ff7540..fbc395895 100644
--- a/matlab/posterior_sampler.m
+++ b/matlab/posterior_sampler.m
@@ -3,21 +3,20 @@ function posterior_sampler(TargetFun,ProposalFun,xparam1,sampler_options,mh_boun
% Random Walk Metropolis-Hastings algorithm.
%
% INPUTS
-% o TargetFun [char] string specifying the name of the objective
-% function (posterior kernel).
-% o ProposalFun [char] string specifying the name of the proposal
-% density
-% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
-% o sampler_options structure
-% .invhess [double] (p*p) matrix, posterior covariance matrix (at the mode).
-% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
-% o dataset_ data structure
-% o dataset_info dataset info structure
-% o options_ options structure
-% o M_ model structure
-% o estim_params_ estimated parameters structure
-% o bayestopt_ estimation options structure
-% o oo_ outputs structure
+% o TargetFun [char] string specifying the name of the objective
+% function (posterior kernel).
+% o ProposalFun [char] string specifying the name of the proposal
+% density
+% o xparam1 [double] (p*1) vector of parameters to be estimated (initial values).
+% o sampler_options structure
+% o mh_bounds [double] (p*2) matrix defining lower and upper bounds for the parameters.
+% o dataset_ [structure] data structure
+% o dataset_info [structure] dataset info structure
+% o options_ [structure] options structure
+% o M_ [structure] model structure
+% o estim_params_ [structure] estimated parameters structure
+% o bayestopt_ [structure] prior specification structure
+% o oo_ [structure] output structure
%
% SPECIAL REQUIREMENTS
% None.
diff --git a/matlab/posterior_sampler_initialization.m b/matlab/posterior_sampler_initialization.m
index 9a8190269..2ac7f6963 100644
--- a/matlab/posterior_sampler_initialization.m
+++ b/matlab/posterior_sampler_initialization.m
@@ -58,16 +58,9 @@ function [ ix2, ilogpo2, ModelName, MetropolisFolder, FirstBlock, FirstLine, npa
%Initialize outputs
ix2 = [];
ilogpo2 = [];
-ModelName = [];
-MetropolisFolder = [];
FirstBlock = [];
FirstLine = [];
-npar = [];
-NumberOfBlocks = [];
-nruns = [];
NewFile = [];
-MAX_nruns = [];
-d = [];
ModelName = M_.fname;
if ~isempty(M_.bvar)
@@ -171,7 +164,7 @@ if ~options_.load_mh_file && ~options_.mh_recover
else
bayestopt0 = load([PreviousFolder0 filesep 'prior' filesep 'definition.mat']);
end
- [common_parameters,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
+ [~,IA,IB] = intersect(bayestopt_.name,bayestopt0.bayestopt_.name);
new_estimated_parameters = ~ismember(bayestopt_.name,bayestopt0.bayestopt_.name);
ix2 = zeros(NumberOfBlocks,npar);
ilogpo2 = zeros(NumberOfBlocks,1);
diff --git a/matlab/prior_posterior_statistics.m b/matlab/prior_posterior_statistics.m
index 5f2b61db5..51ab6f02d 100644
--- a/matlab/prior_posterior_statistics.m
+++ b/matlab/prior_posterior_statistics.m
@@ -1,6 +1,5 @@
function prior_posterior_statistics(type,dataset,dataset_info)
-
-% function prior_posterior_statistics(type,dataset)
+% function prior_posterior_statistics(type,dataset,dataset_info)
% Computes Monte Carlo filter smoother and forecasts
%
% INPUTS
@@ -8,6 +7,7 @@ function prior_posterior_statistics(type,dataset,dataset_info)
% prior
% gsa
% dataset: data structure
+% dataset_info: dataset structure
%
% OUTPUTS
% none
@@ -208,13 +208,11 @@ localVars.ifil=ifil;
localVars.DirectoryName = DirectoryName;
if strcmpi(type,'posterior')
- BaseName = [DirectoryName filesep M_.fname];
record=load_last_mh_history_file(DirectoryName, M_.fname);
[nblck, npar] = size(record.LastParameters);
FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
- LastMhFile = TotalNumberOfMhFiles;
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
mh_nblck = options_.mh_nblck;
@@ -318,9 +316,9 @@ if strcmpi(type,'gsa')
return
end
-if ~isnumeric(options_.parallel),
+if ~isnumeric(options_.parallel)
leaveSlaveOpen = options_.parallel_info.leaveSlaveOpen;
- if options_.parallel_info.leaveSlaveOpen == 0,
+ if options_.parallel_info.leaveSlaveOpen == 0
% Commenting for testing!!!
options_.parallel_info.leaveSlaveOpen = 1; % Force locally to leave open remote matlab sessions (repeated pm3 calls)
end