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Merge pull request #918 from JohannesPfeifer/Geweke_fix 

Fix Geweke convergence when used with load_mh_file
time-shift
Stéphane Adjemian 2015-05-07 14:09:36 +02:00
parent cd509427bf 50f0dadec8
commit 971142131e
1 changed files with 4 additions and 4 deletions
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8
matlab/McMCDiagnostics.m
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@ -86,14 +86,14 @@ if nblck == 1 % Brooks and Gelman tests need more than one block
fprintf('\nCONVERGENCE DIAGNOSTICS: Invalid option for geweke_interval. Using the default of [0.2 0.5].\n')
options_.convergence.geweke.geweke_interval=[0.2 0.5];
end
first_obs_begin_sample = max(1,ceil(options_.mh_drop*options_.mh_replic));
last_obs_begin_sample = first_obs_begin_sample+round(options_.convergence.geweke.geweke_interval(1)*options_.mh_replic*(1-options_.mh_drop));
first_obs_end_sample = first_obs_begin_sample+round(options_.convergence.geweke.geweke_interval(2)*options_.mh_replic*(1-options_.mh_drop));
first_obs_begin_sample = max(1,ceil(options_.mh_drop*NumberOfDraws));
last_obs_begin_sample = first_obs_begin_sample+round(options_.convergence.geweke.geweke_interval(1)*NumberOfDraws*(1-options_.mh_drop));
first_obs_end_sample = first_obs_begin_sample+round(options_.convergence.geweke.geweke_interval(2)*NumberOfDraws*(1-options_.mh_drop));
param_name=[];
for jj=1:npar
param_name = strvcat(param_name,get_the_name(jj,options_.TeX,M_,estim_params_,options_));
end
fprintf('\nGeweke (1992) Convergence Tests, based on means of draws %d to %d vs %d to %d.\n',first_obs_begin_sample,last_obs_begin_sample,first_obs_end_sample,options_.mh_replic);
fprintf('\nGeweke (1992) Convergence Tests, based on means of draws %d to %d vs %d to %d.\n',first_obs_begin_sample,last_obs_begin_sample,first_obs_end_sample,NumberOfDraws);
fprintf('p-values are for Chi2-test for equality of means.\n');
Geweke_header={'Parameter', 'Post. Mean', 'Post. Std', 'p-val No Taper'};
print_string=['%',num2str(size(param_name,2)+3),'s \t %12.3f \t %12.3f \t %12.3f'];