Added autocorrelogram for the posterior draws.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2017 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
parent
25e20a2b5b
commit
b4c04a27cc
|
@ -182,7 +182,7 @@ function global_initialization()
|
||||||
options_.proposal_distribution = 'rand_multivariate_normal';
|
options_.proposal_distribution = 'rand_multivariate_normal';
|
||||||
options_.student_degrees_of_freedom = 3;
|
options_.student_degrees_of_freedom = 3;
|
||||||
options_.trace_plot_ma = 200;
|
options_.trace_plot_ma = 200;
|
||||||
|
options_.mh_autocorrelation_function_size = 30;
|
||||||
|
|
||||||
% Misc
|
% Misc
|
||||||
options_.conf_sig = 0.6;
|
options_.conf_sig = 0.6;
|
||||||
|
|
|
@ -0,0 +1,103 @@
|
||||||
|
function mh_autocorrelation_function(options_,M_,estim_params_,type,blck,name1,name2)
|
||||||
|
% This function plots the autocorrelation of the sampled draws in the
|
||||||
|
% posterior distribution.
|
||||||
|
%
|
||||||
|
%
|
||||||
|
% INPUTS
|
||||||
|
%
|
||||||
|
% options_ [structure] Dynare structure.
|
||||||
|
% M_ [structure] Dynare structure (related to model definition).
|
||||||
|
% estim_params_ [structure] Dynare structure (related to estimation).
|
||||||
|
% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error) or 'StructuralShock' (for structural shock).
|
||||||
|
% blck [integer] Number of the mh chain.
|
||||||
|
% name1 [string] Object name.
|
||||||
|
% name2 [string] Object name.
|
||||||
|
%
|
||||||
|
% OUTPUTS
|
||||||
|
% None
|
||||||
|
%
|
||||||
|
% SPECIAL REQUIREMENTS
|
||||||
|
|
||||||
|
% Copyright (C) 2003-2008 Dynare Team
|
||||||
|
%
|
||||||
|
% This file is part of Dynare.
|
||||||
|
%
|
||||||
|
% Dynare is free software: you can redistribute it and/or modify
|
||||||
|
% it under the terms of the GNU General Public License as published by
|
||||||
|
% the Free Software Foundation, either version 3 of the License, or
|
||||||
|
% (at your option) any later version.
|
||||||
|
%
|
||||||
|
% Dynare is distributed in the hope that it will be useful,
|
||||||
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||||
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||||
|
% GNU General Public License for more details.
|
||||||
|
%
|
||||||
|
% You should have received a copy of the GNU General Public License
|
||||||
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
% Cet the column index:
|
||||||
|
if nargin<7
|
||||||
|
column = name2index(options_, M_, estim_params_, type, name1);
|
||||||
|
else
|
||||||
|
column = name2index(options_, M_, estim_params_, type, name1, name2);
|
||||||
|
end
|
||||||
|
|
||||||
|
if isempty(column)
|
||||||
|
return
|
||||||
|
end
|
||||||
|
|
||||||
|
% Get informations about the posterior draws:
|
||||||
|
DirectoryName = CheckPath('metropolis');
|
||||||
|
try
|
||||||
|
load([DirectoryName '/' M_.fname '_mh_history.mat']);
|
||||||
|
catch
|
||||||
|
disp(['trace_plot:: I can''t find ' M_.fname '_results.mat !'])
|
||||||
|
disp(['trace_plot:: Did you run a metropolis?'])
|
||||||
|
return
|
||||||
|
end
|
||||||
|
|
||||||
|
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||||||
|
FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
|
||||||
|
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||||||
|
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
||||||
|
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
||||||
|
clear record;
|
||||||
|
|
||||||
|
% Get all the posterior draws:
|
||||||
|
PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, blck);
|
||||||
|
|
||||||
|
% Compute the autocorrelation function:
|
||||||
|
[autocov,autocor] = sample_autocovariance(PosteriorDraws,options_.mh_autocorrelation_function_size);
|
||||||
|
|
||||||
|
% Plot the posterior draws:
|
||||||
|
|
||||||
|
if strcmpi(type,'DeepParameter')
|
||||||
|
TYPE = 'parameter ';
|
||||||
|
elseif strcmpi(type,'StructuralShock')
|
||||||
|
if nargin<7
|
||||||
|
TYPE = 'the standard deviation of structural shock ';
|
||||||
|
else
|
||||||
|
TYPE = 'the correlation between structural shocks ';
|
||||||
|
end
|
||||||
|
elseif strcmpi(type,'MeasurementError')
|
||||||
|
if nargin<7
|
||||||
|
TYPE = 'the standard deviation of measurement error ';
|
||||||
|
else
|
||||||
|
TYPE = 'the correlation between measurement errors ';
|
||||||
|
end
|
||||||
|
end
|
||||||
|
|
||||||
|
if nargin<7
|
||||||
|
FigureName = ['autocorrelogram for ' TYPE name1];
|
||||||
|
else
|
||||||
|
FigureName = ['autocorrelogram for ' TYPE name1 ' and ' name2];
|
||||||
|
end
|
||||||
|
|
||||||
|
if options_.mh_nblck>1
|
||||||
|
FigureName = [ FigureName , ' (block number' int2str(blck) ').'];
|
||||||
|
end
|
||||||
|
|
||||||
|
|
||||||
|
figure('Name',FigureName)
|
||||||
|
bar(0:options_.mh_autocorrelation_function_size,autocor,'k');
|
||||||
|
axis tight
|
|
@ -0,0 +1,48 @@
|
||||||
|
function [autocov,autocor] = sample_autocovariance(data,q)
|
||||||
|
% Computes the autocovariance function associated to a time series.
|
||||||
|
%
|
||||||
|
%
|
||||||
|
% INPUTS
|
||||||
|
%
|
||||||
|
% data [double] T*1 vector of data.
|
||||||
|
% q [integer] Order of the autocovariance function.
|
||||||
|
%
|
||||||
|
% OUTPUTS
|
||||||
|
% autocov [double] (q+1)*1 vector, autocovariance function (first scalar is the variance).
|
||||||
|
% autocor [double] (q+1)*1 vector, autocorrelation function (first scalar is equal to one).
|
||||||
|
%
|
||||||
|
% SPECIAL REQUIREMENTS
|
||||||
|
|
||||||
|
% Copyright (C) 2003-2008 Dynare Team
|
||||||
|
%
|
||||||
|
% This file is part of Dynare.
|
||||||
|
%
|
||||||
|
% Dynare is free software: you can redistribute it and/or modify
|
||||||
|
% it under the terms of the GNU General Public License as published by
|
||||||
|
% the Free Software Foundation, either version 3 of the License, or
|
||||||
|
% (at your option) any later version.
|
||||||
|
%
|
||||||
|
% Dynare is distributed in the hope that it will be useful,
|
||||||
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
||||||
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
||||||
|
% GNU General Public License for more details.
|
||||||
|
%
|
||||||
|
% You should have received a copy of the GNU General Public License
|
||||||
|
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
|
||||||
|
|
||||||
|
autocov = zeros(q+1,1);
|
||||||
|
|
||||||
|
demeaned_data = data(:) - mean(data(:));
|
||||||
|
sample_size = length( data(q+1:end) );
|
||||||
|
lagged_indices = transpose(0:-1:-q);
|
||||||
|
|
||||||
|
for t = 1:sample_size
|
||||||
|
tt = t+q;
|
||||||
|
autocov = autocov + demeaned_data(tt)*demeaned_data(tt+lagged_indices);
|
||||||
|
end
|
||||||
|
|
||||||
|
autocov = autocov/sample_size ;
|
||||||
|
|
||||||
|
if nargout>1
|
||||||
|
autocor = autocov / autocov(1);
|
||||||
|
end
|
Loading…
Reference in New Issue