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provisions for analytic 1st and 2nd derivatives

time-shift
Marco Ratto 2011-11-07 09:17:38 +01:00
parent 4acd50bdaf
commit bd26eb2251
1 changed files with 36 additions and 1 deletions
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37
matlab/priordens.m
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@ -1,4 +1,4 @@
function logged_prior_density = priordens(x, pshape, p6, p7, p3, p4,initialization)
function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7, p3, p4,initialization)
% Computes a prior density for the structural parameters of DSGE models
%
% INPUTS
@ -81,6 +81,11 @@ if tt1
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
elseif nargout == 3
[tmp, dlprior(id1), d2lprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
end
end
if tt2
@ -88,10 +93,20 @@ if tt2
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
elseif nargout == 3
[tmp, dlprior(id2), d2lprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
end
end
if tt3
logged_prior_density = logged_prior_density + sum(lpdfnorm(x(id3),p6(id3),p7(id3))) ;
if nargout == 2,
[tmp, dlprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
elseif nargout == 3
[tmp, dlprior(id3), d2lprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
end
end
if tt4
@ -99,6 +114,11 @@ if tt4
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
elseif nargout == 3
[tmp, dlprior(id4), d2lprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
end
end
if tt5
@ -107,6 +127,12 @@ if tt5
return
end
logged_prior_density = logged_prior_density + sum(log(1./(p4(id5)-p3(id5)))) ;
if nargout >1,
dlprior(id5)=zeros(length(id5),1);
end
if nargout == 3
d2lprior(id5)=zeros(length(id5),1);
end
end
if tt6
@ -114,4 +140,13 @@ if tt6
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
elseif nargout == 3
[tmp, dlprior(id6), d2lprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
end
end
if nargout==3,
d2lprior = diag(d2lprior);
end