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Added posterior densities 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@461 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2005-09-25 14:10:41 +00:00
parent 51798798db
commit b425351404
6 changed files with 133 additions and 17 deletions
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6
matlab/GetPosteriorParametersStatistics.m
View File

@ -155,8 +155,4 @@ if ncn
eval(['oo_.posterior_density.measurement_errors_corr.' NAME ' = post_density;']);
ip = ip+1;
end
end
end

4
matlab/McMCDiagnostics.m
View File

@ -1,5 +1,5 @@
function McmcDiagnostic
% stephane.adjemian.cepremap.cnrs.fr [06-04-2005]
% stephane.adjemian@ens.fr [06-04-2005]
global options_ estim_params_ M_
@ -23,7 +23,7 @@ NumberOfDraws = PastDraws(1);
Origin = 1000;
StepSize = ceil((NumberOfDraws-Origin)/100);% So that the computational time does not
ALPHA = 0.2; % increase too much with the number of simulations.
ALPHA = 0.2; % increase too much with the number of simulations.
time = 1:NumberOfDraws;
xx = Origin:StepSize:NumberOfDraws;
NumberOfLines = length(xx);

122
matlab/PlotPosteriorDistributions.m Normal file
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@ -0,0 +1,122 @@
function PlotPosteriorDistributions()
% stephane.adjemian@ens.fr [09-09-2005]
global estim_params_ M_ options_ bayestopt_ oo_
DirectoryName = CheckPath('Plots\Densities')
TeX = options_.TeX;
nblck = options_.mh_nblck;
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncn = estim_params_.ncn;
np = estim_params_.np ;
npar = nvx+nvn+ncx+ncn+np;
MaxNumberOfPlotPerFigure = 9;% The square root must be an integer!
nn = sqrt(MaxNumberOfPlotPerFigure);
figurename = 'Priors and posteriors';
if TeX
fidTeX = fopen([DirectoryName '\' M_.fname '_PriorsAndPosteriors.TeX'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by PlotPosteriorDistributions.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
figunumber = 0;
subplotnum = 0;
for i=1:npar
subplotnum = subplotnum+1;
if subplotnum == 1
figunumber = figunumber+1;
hfig = figure('Name',figurename);
end
if subplotnum == 1
if TeX
TeXNAMES = [];
end
NAMES = [];
end
[nam,texnam] = get_the_name(i,TeX);
NAMES = strvcat(NAMES,nam);
if TeX
TeXNAMES = strvcat(TeXNAMES,texnam);
end
[x2,f2,abscissa,dens,binf2,bsup2] = draw_prior_density(i);
top2 = max(f2);
if i <= nvx
name = deblank(M_.exo_names(estim_params_.var_exo(i,1),:));
eval(['x1 = oo_.posterior_density.shocks_std.' name '(:,1);'])
eval(['f1 = oo_.posterior_density.shocks_std.' name '(:,2);'])
eval(['pmode = oo_.posterior_mode.shocks_std.' name ';'])
elseif i <= nvx+nvn
name = deblank(options_.varobs(estim_params_.var_endo(i-nvx,1),:));
eval(['x1 = oo_.posterior_density.measurement_errors_std.' name '(:,1);'])
eval(['f1 = oo_.posterior_density.measurement_errors_std.' name '(:,2);'])
eval(['pmode = oo_.posterior_mode.measurement_errors_std.' name ';'])
elseif i <= nvx+nvn+ncx
j = i - (nvx+nvn)
k1 = estim_params_.corrx(j,1);
k2 = estim_params_.corrx(j,2);
name = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
eval(['x1 = oo_.posterior_density.shocks_corr.' name '(:,1);'])
eval(['f1 = oo_.posterior_density.shocks_corr.' name '(:,2);'])
eval(['pmode = oo_.posterior_mode.shocks_corr.' name ';'])
elseif i <= nvx+nvn+ncx+ncn
j = i - (nvx+nvn+ncx);
k1 = estim_params_.corrn(j,1);
k2 = estim_params_.corrn(j,2);
name = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
eval(['x1 = oo_.posterior_density.measurement_errors_corr.' name '(:,1);'])
eval(['f1 = oo_.posterior_density.measurement_errors_corr.' name '(:,2);'])
eval(['pmode = oo_.posterior_mode.measurement_errors_corr.' name ';'])
else
j = i - (nvx+nvn+ncx+ncn);
name = deblank(M_.param_names(estim_params_.param_vals(j,1),:));
eval(['x1 = oo_.posterior_density.' name '(:,1);'])
eval(['f1 = oo_.posterior_density.' name '(:,2);'])
eval(['pmode = oo_.posterior_mode.parameters.' name ';'])
end
top1 = max(f1);
top0 = max([top1;top2]);
binf1 = x1(1);
bsup1 = x1(end);
borneinf = min(binf1,binf2);
bornesup = max(bsup1,bsup2);
subplot(nn,nn,subplotnum)
hh = plot(x2,f2,'-k','linewidth',2);
set(hh,'color',[0.7 0.7 0.7]);
hold on;
plot(x1,f1,'-k','linewidth',2);
plot( [pmode pmode], [0.0 1.1*top0], '--g', 'linewidth', 2);
box on;
axis([borneinf bornesup 0 1.1*top0]);
title(nam,'Interpreter','none');
hold off;
drawnow
if subplotnum == MaxNumberOfPlotPerFigure | i == npar;
eval(['print -depsc2 ' DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber)]);
eval(['print -dpdf ' DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber)]);
saveas(hfig,[DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber) '.fig']);
if TeX
fprintf(fidTeX,'\\begin{figure}[H]\n');
for j = 1:size(NAMES,1)
fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(j,:)),deblank(TeXNAMES(j,:)));
end
fprintf(fidTeX,'\\centering\n');
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_PriorsAndPosteriors%s}\n',M_.fname,int2str(figunumber));
fprintf(fidTeX,'\\caption{Priors and posteriors.}');
fprintf(fidTeX,'\\label{Fig:PriorsAndPosteriors:%s}\n',int2str(figunumber));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
if i == npar
fprintf(fidTeX,'%% End of TeX file.\n');
fclose(fidTeX);
end
end
if options_.nograph, close(hfig), end
subplotnum = 0;
end
end

2
matlab/draw_prior_density.m
View File

@ -1,5 +1,5 @@
function [x,f,abscissa,dens,binf,bsup] = draw_prior_density(indx);
% stephane.adjemian@cepremap.cnrs.fr [07-15-2004]
% stephane.adjemian@ens.fr [07-15-2004]
global bayestopt_

2
matlab/dynare_estimation.m
View File

@ -649,7 +649,7 @@ if (any(bayestopt_.pshape >0 ) & options_.mh_replic) | (any(bayestopt_.pshape >
marginal = marginal_density;
%%
GetPosteriorParametersStatistics();
PlotPosteriorDistributions();
return
end

14
matlab/get_the_name.m
View File

@ -8,7 +8,7 @@ texnam = [];
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncx = estim_params_.ncn;
ncn = estim_params_.ncn;
if k <= nvx
vname = deblank(M_.exo_names(estim_params_.var_exo(k,1),:));
@ -24,8 +24,8 @@ elseif k <= (nvx+nvn)
tname = deblank(options_.TeX_varobs(estim_params_.var_endo(k-estim_params_.nvx,1),:));
texnam = ['$ SE_{' tname '} $'];
end
elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx)
jj = k - (estim_params_.nvx+estim_params_.nvn);
elseif k <= (nvx+nvn+ncx)
jj = k - (nvx+nvn);
k1 = estim_params_.corrx(jj,1);
k2 = estim_params_.corrx(jj,2);
vname = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
@ -34,9 +34,8 @@ elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx)
tname = [deblank(M_.exo_names_tex(k1,:)) ',' deblank(M_.exo_names_tex(k2,:))];
texnam = ['$ CC_{' tname '} $'];
end
elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
estim_params_.ncn)
jj = k - (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx);
elseif k <= (nvx+nvn+ncx+ncn)
jj = k - (nvx+nvn+ncx);
k1 = estim_params_.corrn(jj,1);
k2 = estim_params_.corrn(jj,2);
vname = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
@ -46,8 +45,7 @@ elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
texnam =['$ CC_{' tname '} $'];
end
else
jj = k - (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
estim_params_.ncn);
jj = k - (nvx+nvn+ncx+ncn);
jj1 = estim_params_.param_vals(jj,1);
nam = deblank(M_.param_names(jj1,:));
if TeX