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Merge branch 'trace_plot' of git.dynare.org:JohannesPfeifer/dynare 

Ref. !2169
kalman-mex
Sébastien Villemot 2023-09-11 16:25:31 +02:00
parent 8d29d7b8d3 baf8243fac
commit 890c6b2e1d
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4 changed files with 70 additions and 34 deletions
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5
doc/manual/source/dynare-misc-commands.rst
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@ -53,8 +53,9 @@ Dynare misc commands
.. command:: generate_trace_plots(CHAIN_NUMBER);
Generates trace plots of the MCMC draws for all estimated
parameters and the posterior density in the specified Markov Chain
``CHAIN_NUMBER``.
parameters and the posterior density for the specified Markov Chain(s)
``CHAIN_NUMBER``. If ``CHAIN_NUMBER`` is a vector of integers, the trace plots
will plot contains separate lines for each chain.
|br|

2
matlab/generate_trace_plots.m
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@ -34,7 +34,7 @@ global M_ options_ estim_params_
% Get informations about the posterior draws:
MetropolisFolder = CheckPath('metropolis', M_.dname);
record=load_last_mh_history_file(MetropolisFolder, M_.fname);
if chain_number>record.Nblck
if max(chain_number)>record.Nblck
error('generate_trace_plots:: chain number is bigger than existing number of chains')
end

93
matlab/trace_plot.m
View File

@ -9,7 +9,8 @@ function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error),
% 'StructuralShock' (for structural shock)
% or 'PosteriorDensity (for posterior density)'
% blck [integer] Number of the mh chain.
% blck [integer] Number of the mh chain or chains if a
% vector
% name1 [string] Object name.
% name2 [string] Object name.
%
@ -18,7 +19,7 @@ function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
%
% SPECIAL REQUIREMENTS
% Copyright © 2003-2018 Dynare Team
% Copyright © 2003-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -62,9 +63,29 @@ TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
[mh_nblck] = size(record.LastParameters,2);
clear record;
n_nblocks_to_plot=length(blck);
if n_nblocks_to_plot==1
% Get all the posterior draws:
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
else
PosteriorDraws=NaN(TotalNumberOfMhDraws,n_nblocks_to_plot);
save_string='';
if options_.TeX
title_string_tex='';
end
for block_iter=1:n_nblocks_to_plot
PosteriorDraws(:,block_iter) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck(block_iter));
save_string=[save_string,'_',num2str(blck(block_iter))];
if options_.TeX
title_string_tex=[title_string_tex, ', ' num2str(blck(block_iter))];
end
end
save_string(1)=[];
if options_.TeX
title_string_tex(1:2)=[];
end
end
% Plot the posterior draws:
@ -92,30 +113,34 @@ else
FigureName = ['Trace plot for ' TYPE name1 ' and ' name2];
end
if options_.mh_nblck>1
FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
if n_nblocks_to_plot==1
if options_.mh_nblck>1
FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
end
hh=dyn_figure(options_.nodisplay,'Name',FigureName);
plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.7 .7 .7]);
% Compute the moving average of the posterior draws:
N = options_.trace_plot_ma;
MovingAverage = NaN(TotalNumberOfMhDraws,1);
first = N+1;
last = TotalNumberOfMhDraws-N;
for t=first:last
MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
end
hold on
plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
hold off
axis tight
legend({'MCMC draw';[num2str(N) ' period moving average']},'Location','NorthEast')
else
hh=dyn_figure(options_.nodisplay,'Name',FigureName);
pp=plot(1:TotalNumberOfMhDraws,PosteriorDraws);
legend(pp,strcat(repmat({'Chain '},n_nblocks_to_plot,1),num2str(blck(:))));
end
hh=dyn_figure(options_.nodisplay,'Name',FigureName);
plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.7 .7 .7]);
% Compute the moving average of the posterior draws:
N = options_.trace_plot_ma;
MovingAverage = NaN(TotalNumberOfMhDraws,1);
first = N+1;
last = TotalNumberOfMhDraws-N;
for t=first:last
MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
end
hold on
plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
hold off
axis tight
legend({'MCMC draw';[num2str(N) ' period moving average']},'Location','NorthWest')
% create subdirectory <dname>/graphs if it doesn't exist
if ~exist(M_.dname, 'dir')
mkdir('.',M_.dname);
@ -130,8 +155,11 @@ if strcmpi(type,'PosteriorDensity')
else
plot_name=get_the_name(column,0,M_,estim_params_,options_);
end
plot_name=[plot_name,'_blck_',num2str(blck)];
if n_nblocks_to_plot==1
plot_name=[plot_name,'_blck_',num2str(blck)];
else
plot_name=[plot_name,'_blck_',save_string];
end
dyn_saveas(hh,[M_.dname, filesep, 'graphs', filesep, 'TracePlot_' plot_name],options_.nodisplay,options_.graph_format)
if options_.TeX
@ -157,10 +185,13 @@ if options_.TeX
FigureName = ['Trace plot for ' TYPE '$' tex_names{strmatch(name1,base_names,'exact')} '$ and $' tex_names{strmatch(name2,base_names,'exact')} '$'];
end
end
if options_.mh_nblck>1
FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
if n_nblocks_to_plot==1
if options_.mh_nblck>1
FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
end
else
FigureName = [ FigureName , ' (blocks ' title_string_tex ').'];
end
fprintf(fid,'%-s\n','\begin{figure}[H]');
fprintf(fid,'%-s\n','\centering');
fprintf(fid,'%-s\n',[' \includegraphics[width=0.8\textwidth]{',[M_.dname, '/graphs/TracePlot_' plot_name],'}\\']);

4
tests/estimation/slice/fs2000_slice.mod
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@ -88,3 +88,7 @@ estimation(order=1,datafile='../fsdat_simul',nobs=192,loglinear,mh_replic=100,mh
posterior_sampling_method='slice',
posterior_sampler_options=('rotated',1,'use_mh_covariance_matrix',1)
);
options_.TeX=1;
generate_trace_plots(1:2);
options_.TeX=1;