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890c6b2e1d
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@ -53,8 +53,9 @@ Dynare misc commands
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.. command:: generate_trace_plots(CHAIN_NUMBER);
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.. command:: generate_trace_plots(CHAIN_NUMBER);
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Generates trace plots of the MCMC draws for all estimated
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Generates trace plots of the MCMC draws for all estimated
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parameters and the posterior density in the specified Markov Chain
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parameters and the posterior density for the specified Markov Chain(s)
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``CHAIN_NUMBER``.
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``CHAIN_NUMBER``. If ``CHAIN_NUMBER`` is a vector of integers, the trace plots
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will plot contains separate lines for each chain.
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|br|
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@ -34,7 +34,7 @@ global M_ options_ estim_params_
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% Get informations about the posterior draws:
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% Get informations about the posterior draws:
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MetropolisFolder = CheckPath('metropolis', M_.dname);
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MetropolisFolder = CheckPath('metropolis', M_.dname);
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record=load_last_mh_history_file(MetropolisFolder, M_.fname);
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record=load_last_mh_history_file(MetropolisFolder, M_.fname);
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if chain_number>record.Nblck
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if max(chain_number)>record.Nblck
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error('generate_trace_plots:: chain number is bigger than existing number of chains')
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error('generate_trace_plots:: chain number is bigger than existing number of chains')
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end
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end
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@ -9,7 +9,8 @@ function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
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% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error),
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% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error),
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% 'StructuralShock' (for structural shock)
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% 'StructuralShock' (for structural shock)
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% or 'PosteriorDensity (for posterior density)'
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% or 'PosteriorDensity (for posterior density)'
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% blck [integer] Number of the mh chain.
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% blck [integer] Number of the mh chain or chains if a
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% vector
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% name1 [string] Object name.
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% name1 [string] Object name.
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% name2 [string] Object name.
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% name2 [string] Object name.
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%
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%
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@ -18,7 +19,7 @@ function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
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%
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%
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% SPECIAL REQUIREMENTS
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% SPECIAL REQUIREMENTS
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% Copyright © 2003-2018 Dynare Team
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% Copyright © 2003-2023 Dynare Team
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%
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%
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% This file is part of Dynare.
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% This file is part of Dynare.
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%
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%
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@ -62,9 +63,29 @@ TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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[mh_nblck] = size(record.LastParameters,2);
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[mh_nblck] = size(record.LastParameters,2);
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clear record;
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clear record;
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n_nblocks_to_plot=length(blck);
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if n_nblocks_to_plot==1
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% Get all the posterior draws:
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% Get all the posterior draws:
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PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
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PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
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else
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PosteriorDraws=NaN(TotalNumberOfMhDraws,n_nblocks_to_plot);
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save_string='';
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if options_.TeX
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title_string_tex='';
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end
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for block_iter=1:n_nblocks_to_plot
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PosteriorDraws(:,block_iter) = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck(block_iter));
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save_string=[save_string,'_',num2str(blck(block_iter))];
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if options_.TeX
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title_string_tex=[title_string_tex, ', ' num2str(blck(block_iter))];
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end
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end
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save_string(1)=[];
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if options_.TeX
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title_string_tex(1:2)=[];
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end
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end
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% Plot the posterior draws:
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% Plot the posterior draws:
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@ -92,30 +113,34 @@ else
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FigureName = ['Trace plot for ' TYPE name1 ' and ' name2];
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FigureName = ['Trace plot for ' TYPE name1 ' and ' name2];
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end
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end
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if options_.mh_nblck>1
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FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
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if n_nblocks_to_plot==1
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if options_.mh_nblck>1
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FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
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end
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hh=dyn_figure(options_.nodisplay,'Name',FigureName);
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plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.7 .7 .7]);
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% Compute the moving average of the posterior draws:
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N = options_.trace_plot_ma;
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MovingAverage = NaN(TotalNumberOfMhDraws,1);
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first = N+1;
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last = TotalNumberOfMhDraws-N;
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for t=first:last
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MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
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end
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hold on
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plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
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hold off
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axis tight
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legend({'MCMC draw';[num2str(N) ' period moving average']},'Location','NorthEast')
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else
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hh=dyn_figure(options_.nodisplay,'Name',FigureName);
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pp=plot(1:TotalNumberOfMhDraws,PosteriorDraws);
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legend(pp,strcat(repmat({'Chain '},n_nblocks_to_plot,1),num2str(blck(:))));
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end
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end
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hh=dyn_figure(options_.nodisplay,'Name',FigureName);
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plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.7 .7 .7]);
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% Compute the moving average of the posterior draws:
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N = options_.trace_plot_ma;
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MovingAverage = NaN(TotalNumberOfMhDraws,1);
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first = N+1;
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last = TotalNumberOfMhDraws-N;
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for t=first:last
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MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
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end
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hold on
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plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
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hold off
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axis tight
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legend({'MCMC draw';[num2str(N) ' period moving average']},'Location','NorthWest')
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% create subdirectory <dname>/graphs if it doesn't exist
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% create subdirectory <dname>/graphs if it doesn't exist
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if ~exist(M_.dname, 'dir')
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if ~exist(M_.dname, 'dir')
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mkdir('.',M_.dname);
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mkdir('.',M_.dname);
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@ -130,8 +155,11 @@ if strcmpi(type,'PosteriorDensity')
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else
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else
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plot_name=get_the_name(column,0,M_,estim_params_,options_);
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plot_name=get_the_name(column,0,M_,estim_params_,options_);
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end
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end
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plot_name=[plot_name,'_blck_',num2str(blck)];
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if n_nblocks_to_plot==1
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plot_name=[plot_name,'_blck_',num2str(blck)];
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else
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plot_name=[plot_name,'_blck_',save_string];
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end
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dyn_saveas(hh,[M_.dname, filesep, 'graphs', filesep, 'TracePlot_' plot_name],options_.nodisplay,options_.graph_format)
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dyn_saveas(hh,[M_.dname, filesep, 'graphs', filesep, 'TracePlot_' plot_name],options_.nodisplay,options_.graph_format)
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if options_.TeX
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if options_.TeX
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@ -157,10 +185,13 @@ if options_.TeX
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FigureName = ['Trace plot for ' TYPE '$' tex_names{strmatch(name1,base_names,'exact')} '$ and $' tex_names{strmatch(name2,base_names,'exact')} '$'];
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FigureName = ['Trace plot for ' TYPE '$' tex_names{strmatch(name1,base_names,'exact')} '$ and $' tex_names{strmatch(name2,base_names,'exact')} '$'];
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end
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end
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end
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end
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if options_.mh_nblck>1
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if n_nblocks_to_plot==1
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FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
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if options_.mh_nblck>1
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FigureName = [ FigureName , ' (block number ' int2str(blck) ').'];
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end
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else
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FigureName = [ FigureName , ' (blocks ' title_string_tex ').'];
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end
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end
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fprintf(fid,'%-s\n','\begin{figure}[H]');
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fprintf(fid,'%-s\n','\begin{figure}[H]');
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fprintf(fid,'%-s\n','\centering');
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fprintf(fid,'%-s\n','\centering');
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fprintf(fid,'%-s\n',[' \includegraphics[width=0.8\textwidth]{',[M_.dname, '/graphs/TracePlot_' plot_name],'}\\']);
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fprintf(fid,'%-s\n',[' \includegraphics[width=0.8\textwidth]{',[M_.dname, '/graphs/TracePlot_' plot_name],'}\\']);
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@ -88,3 +88,7 @@ estimation(order=1,datafile='../fsdat_simul',nobs=192,loglinear,mh_replic=100,mh
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posterior_sampling_method='slice',
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posterior_sampling_method='slice',
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posterior_sampler_options=('rotated',1,'use_mh_covariance_matrix',1)
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posterior_sampler_options=('rotated',1,'use_mh_covariance_matrix',1)
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);
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);
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options_.TeX=1;
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generate_trace_plots(1:2);
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options_.TeX=1;
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