stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'master' into 'master' 

Variable number of parameter MCMC convergence plots

See merge request Dynare/dynare!2127
remove-submodule
Sébastien Villemot 2023-07-05 10:07:39 +00:00
parent 3b9c515674 eb5eefdcf0
commit ae67b4a145
2 changed files with 9 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

12
matlab/convergence_diagnostics/McMCDiagnostics.m
View File

@ -48,6 +48,7 @@ MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
load_last_mh_history_file(MetropolisFolder, ModelName);
NumberOfMcFilesPerBlock = record.LastFileNumber;
npardisp = options_.convergence.brooksgelman.plotrows;
% Check that the declared number of blocks is consistent with informations saved in mh-history files.
if ~isequal(nblck,record.Nblck)
@ -284,12 +285,13 @@ end
UDIAG(:,[2 4 6],:) = UDIAG(:,[2 4 6],:)/nblck;
skipline()
clear pmet temp moyenne CSUP CINF csup cinf n linea iter tmp;
pages = floor(npar/3);
pages = floor(npar/npardisp); % changed from 3 to npardisp
k = 0;
for i = 1:pages
h=dyn_figure(options_.nodisplay,'Name','MCMC univariate convergence diagnostic (Brooks and Gelman,1998)');
boxplot = 1;
for j = 1:3 % Loop over parameters
for j = 1:npardisp % Loop over parameters %npardisp instead of 3
k = k+1;
[nam,namtex] = get_the_name(k,TeX,M_,estim_params_,options_);
for crit = 1:3% Loop over criteria
@ -306,7 +308,7 @@ for i = 1:pages
plt2 = UDIAG(:,6,k);
namnam = [nam , ' (m3)'];
end
subplot(3,3,boxplot);
subplot(npardisp,3,boxplot); %Added more rows to display more variables
plot(xx,plt1,'-b'); % Pooled
hold on;
plot(xx,plt2,'-r'); % Within (mean)
@ -339,8 +341,8 @@ if reste
if reste == 1
nr = 3;
nc = 1;
elseif reste == 2
nr = 2;
else % Conditional for additional rows (variables) when not towards the end of the loop
nr = npardisp;
nc = 3;
end
h = dyn_figure(options_.nodisplay,'Name','MCMC univariate convergence diagnostic (Brooks and Gelman, 1998)');

2
matlab/default_option_values.m
View File

@ -767,6 +767,8 @@ options_.convergence.geweke.geweke_interval=[0.2 0.5];
%Raftery/Lewis convergence diagnostics;
options_.convergence.rafterylewis.indicator=false;
options_.convergence.rafterylewis.qrs=[0.025 0.005 0.95];
%Brooks Gelman convergence plots
options_.convergence.brooksgelman.plotrows=3;
%tolerance for Modified Harmonic Mean estimator
options_.marginal_data_density.harmonic_mean.tolerance = 0.01;