Added posterior densities
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@461 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
parent
51798798db
commit
b425351404
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@ -156,7 +156,3 @@ if ncn
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ip = ip+1;
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end
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end
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@ -1,5 +1,5 @@
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function McmcDiagnostic
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% stephane.adjemian.cepremap.cnrs.fr [06-04-2005]
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% stephane.adjemian@ens.fr [06-04-2005]
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global options_ estim_params_ M_
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@ -23,7 +23,7 @@ NumberOfDraws = PastDraws(1);
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Origin = 1000;
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StepSize = ceil((NumberOfDraws-Origin)/100);% So that the computational time does not
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ALPHA = 0.2; % increase too much with the number of simulations.
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ALPHA = 0.2; % increase too much with the number of simulations.
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time = 1:NumberOfDraws;
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xx = Origin:StepSize:NumberOfDraws;
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NumberOfLines = length(xx);
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@ -0,0 +1,122 @@
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function PlotPosteriorDistributions()
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% stephane.adjemian@ens.fr [09-09-2005]
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global estim_params_ M_ options_ bayestopt_ oo_
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DirectoryName = CheckPath('Plots\Densities')
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TeX = options_.TeX;
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nblck = options_.mh_nblck;
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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npar = nvx+nvn+ncx+ncn+np;
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MaxNumberOfPlotPerFigure = 9;% The square root must be an integer!
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nn = sqrt(MaxNumberOfPlotPerFigure);
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figurename = 'Priors and posteriors';
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if TeX
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fidTeX = fopen([DirectoryName '\' M_.fname '_PriorsAndPosteriors.TeX'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by PlotPosteriorDistributions.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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figunumber = 0;
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subplotnum = 0;
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for i=1:npar
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subplotnum = subplotnum+1;
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if subplotnum == 1
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figunumber = figunumber+1;
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hfig = figure('Name',figurename);
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end
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if subplotnum == 1
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if TeX
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TeXNAMES = [];
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end
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NAMES = [];
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end
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[nam,texnam] = get_the_name(i,TeX);
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NAMES = strvcat(NAMES,nam);
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if TeX
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TeXNAMES = strvcat(TeXNAMES,texnam);
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end
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[x2,f2,abscissa,dens,binf2,bsup2] = draw_prior_density(i);
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top2 = max(f2);
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if i <= nvx
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name = deblank(M_.exo_names(estim_params_.var_exo(i,1),:));
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eval(['x1 = oo_.posterior_density.shocks_std.' name '(:,1);'])
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eval(['f1 = oo_.posterior_density.shocks_std.' name '(:,2);'])
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eval(['pmode = oo_.posterior_mode.shocks_std.' name ';'])
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elseif i <= nvx+nvn
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name = deblank(options_.varobs(estim_params_.var_endo(i-nvx,1),:));
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eval(['x1 = oo_.posterior_density.measurement_errors_std.' name '(:,1);'])
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eval(['f1 = oo_.posterior_density.measurement_errors_std.' name '(:,2);'])
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eval(['pmode = oo_.posterior_mode.measurement_errors_std.' name ';'])
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elseif i <= nvx+nvn+ncx
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j = i - (nvx+nvn)
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k1 = estim_params_.corrx(j,1);
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k2 = estim_params_.corrx(j,2);
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name = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
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eval(['x1 = oo_.posterior_density.shocks_corr.' name '(:,1);'])
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eval(['f1 = oo_.posterior_density.shocks_corr.' name '(:,2);'])
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eval(['pmode = oo_.posterior_mode.shocks_corr.' name ';'])
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elseif i <= nvx+nvn+ncx+ncn
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j = i - (nvx+nvn+ncx);
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k1 = estim_params_.corrn(j,1);
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k2 = estim_params_.corrn(j,2);
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name = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
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eval(['x1 = oo_.posterior_density.measurement_errors_corr.' name '(:,1);'])
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eval(['f1 = oo_.posterior_density.measurement_errors_corr.' name '(:,2);'])
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eval(['pmode = oo_.posterior_mode.measurement_errors_corr.' name ';'])
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else
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j = i - (nvx+nvn+ncx+ncn);
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name = deblank(M_.param_names(estim_params_.param_vals(j,1),:));
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eval(['x1 = oo_.posterior_density.' name '(:,1);'])
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eval(['f1 = oo_.posterior_density.' name '(:,2);'])
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eval(['pmode = oo_.posterior_mode.parameters.' name ';'])
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end
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top1 = max(f1);
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top0 = max([top1;top2]);
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binf1 = x1(1);
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bsup1 = x1(end);
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borneinf = min(binf1,binf2);
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bornesup = max(bsup1,bsup2);
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subplot(nn,nn,subplotnum)
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hh = plot(x2,f2,'-k','linewidth',2);
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set(hh,'color',[0.7 0.7 0.7]);
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hold on;
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plot(x1,f1,'-k','linewidth',2);
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plot( [pmode pmode], [0.0 1.1*top0], '--g', 'linewidth', 2);
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box on;
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axis([borneinf bornesup 0 1.1*top0]);
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title(nam,'Interpreter','none');
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hold off;
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drawnow
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if subplotnum == MaxNumberOfPlotPerFigure | i == npar;
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eval(['print -depsc2 ' DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber)]);
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eval(['print -dpdf ' DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber)]);
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saveas(hfig,[DirectoryName '\' M_.fname '_PriorsAndPosteriors' int2str(figunumber) '.fig']);
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if TeX
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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for j = 1:size(NAMES,1)
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fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(j,:)),deblank(TeXNAMES(j,:)));
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end
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fprintf(fidTeX,'\\centering\n');
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fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_PriorsAndPosteriors%s}\n',M_.fname,int2str(figunumber));
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fprintf(fidTeX,'\\caption{Priors and posteriors.}');
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fprintf(fidTeX,'\\label{Fig:PriorsAndPosteriors:%s}\n',int2str(figunumber));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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if i == npar
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fprintf(fidTeX,'%% End of TeX file.\n');
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fclose(fidTeX);
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end
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end
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if options_.nograph, close(hfig), end
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subplotnum = 0;
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end
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end
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@ -1,5 +1,5 @@
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function [x,f,abscissa,dens,binf,bsup] = draw_prior_density(indx);
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% stephane.adjemian@cepremap.cnrs.fr [07-15-2004]
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% stephane.adjemian@ens.fr [07-15-2004]
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global bayestopt_
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@ -649,7 +649,7 @@ if (any(bayestopt_.pshape >0 ) & options_.mh_replic) | (any(bayestopt_.pshape >
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marginal = marginal_density;
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%%
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GetPosteriorParametersStatistics();
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PlotPosteriorDistributions();
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return
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end
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@ -8,7 +8,7 @@ texnam = [];
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncx = estim_params_.ncn;
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ncn = estim_params_.ncn;
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if k <= nvx
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vname = deblank(M_.exo_names(estim_params_.var_exo(k,1),:));
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@ -24,8 +24,8 @@ elseif k <= (nvx+nvn)
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tname = deblank(options_.TeX_varobs(estim_params_.var_endo(k-estim_params_.nvx,1),:));
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texnam = ['$ SE_{' tname '} $'];
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end
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elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx)
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jj = k - (estim_params_.nvx+estim_params_.nvn);
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elseif k <= (nvx+nvn+ncx)
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jj = k - (nvx+nvn);
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k1 = estim_params_.corrx(jj,1);
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k2 = estim_params_.corrx(jj,2);
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vname = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
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@ -34,9 +34,8 @@ elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx)
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tname = [deblank(M_.exo_names_tex(k1,:)) ',' deblank(M_.exo_names_tex(k2,:))];
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texnam = ['$ CC_{' tname '} $'];
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end
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elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
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estim_params_.ncn)
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jj = k - (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx);
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elseif k <= (nvx+nvn+ncx+ncn)
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jj = k - (nvx+nvn+ncx);
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k1 = estim_params_.corrn(jj,1);
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k2 = estim_params_.corrn(jj,2);
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vname = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
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@ -46,8 +45,7 @@ elseif k <= (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
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texnam =['$ CC_{' tname '} $'];
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end
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else
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jj = k - (estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+ ...
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estim_params_.ncn);
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jj = k - (nvx+nvn+ncx+ncn);
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jj1 = estim_params_.param_vals(jj,1);
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nam = deblank(M_.param_names(jj1,:));
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if TeX
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