From f3c9b39dce571a0a1e0b79efbd5372b304742219 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Wed, 19 Nov 2014 19:32:07 +0100
Subject: [PATCH] Added new Monte Carlo filtering utility, factorizing all
 Smirnov and correlation tests and plots.

---
 matlab/gsa/mcf_analysis.m | 61 +++++++++++++++++++++++++++++++++++++++
 1 file changed, 61 insertions(+)
 create mode 100644 matlab/gsa/mcf_analysis.m

diff --git a/matlab/gsa/mcf_analysis.m b/matlab/gsa/mcf_analysis.m
new file mode 100644
index 000000000..fb46c51bc
--- /dev/null
+++ b/matlab/gsa/mcf_analysis.m
@@ -0,0 +1,61 @@
+function mcf_analysis(lpmat, ibeha, inobeha, options_mcf, DynareOptions)
+%
+% Written by Marco Ratto
+% Joint Research Centre, The European Commission,
+% marco.ratto@jrc.ec.europa.eu
+%
+
+% Copyright (C) 2014 European Commission
+%
+% 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/>.
+
+pvalue_ks = options_mcf.pvalue_ks;
+pvalue_corr = options_mcf.pvalue_corr;
+alpha2 = options_mcf.alpha2;
+param_names = options_mcf.param_names;
+amcf_name = options_mcf.amcf_name;
+amcf_title = options_mcf.amcf_title;
+beha_title = options_mcf.beha_title;
+nobeha_title = options_mcf.nobeha_title;
+title = options_mcf.title;
+fname_ = options_mcf.fname_;
+OutputDirectoryName = options_mcf.OutputDirectoryName;
+
+[proba, dproba] = stab_map_1(lpmat, ibeha, inobeha, [],0);
+%         indindet=find(dproba>ksstat);
+indmcf=find(proba<pvalue_ks);
+[tmp,jtmp] = sort(proba(indmcf),2,'ascend');
+indmcf = indmcf(jtmp);
+if ~isempty(indmcf)
+    disp(['Smirnov statistics in driving ', title])
+    for j=1:length(indmcf),
+        disp([param_names(indmcf(j),:),'   d-stat = ', num2str(dproba(indmcf(j)),'%1.3f'),'   p-value = ', num2str(proba(indmcf(j)),'%1.3f')])
+    end
+    skipline()
+end
+if length(ibeha)>10 && length(inobeha)>10,
+    indcorr1 = stab_map_2(lpmat(ibeha,:),alpha2, pvalue_corr, beha_title);
+    indcorr2 = stab_map_2(lpmat(inobeha,:),alpha2, pvalue_corr, nobeha_title);
+    indcorr = union(indcorr1(:), indcorr2(:));
+    indcorr = indcorr(~ismember(indcorr(:),indmcf));
+    indmcf = [indmcf(:); indcorr(:)];
+end
+if ~isempty(indmcf)
+    skipline()
+    scatter_mcf(lpmat(ibeha,indmcf),lpmat(inobeha,indmcf), param_names(indmcf,:), ...
+        '.', [fname_,'_',amcf_name], OutputDirectoryName, amcf_title,[], DynareOptions, ...
+        beha_title, nobeha_title)
+end