function m = compute_prior_mode(hyperparameters,shape) % This function computes the mode of the prior distribution given the (two, three or four) hyperparameters % of the prior distribution. % % INPUTS % hyperparameters [double] 1*n vector of hyper parameters. % shape [integer] scalar specifying the prior shape: % shape=1 => Beta distribution, % shape=2 => Gamma distribution, % shape=3 => Gaussian distribution, % shape=4 => Inverse Gamma (type 1) distribution, % shape=5 => Uniform distribution, % shape=6 => Inverse Gamma (type 2) distribution. % % OUTPUTS % m [double] scalar or 2*1 vector, the prior mode. % % REMARKS % [1] The size of the vector of hyperparameters is 3 when the Gamma or Inverse Gamma is shifted and 4 when % the support of the Beta distribution is not [0,1]. % [2] The hyperparameters of the uniform distribution are the lower and upper bounds. % [3] The uniform distribution has an infinity of modes. In this case the function returns the prior mean. % [4] For the beta distribution we can have 1, 2 or an infinity of modes. % Copyright (C) 2009-2015 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 . m = NaN ; switch shape case 1 if (hyperparameters(1)>1 && hyperparameters(2)>1) m = (hyperparameters(1)-1)/(hyperparameters(1)+hyperparameters(2)-2) ; elseif (hyperparameters(1)<1 && hyperparameters(2)<1) m = [ 0 ; 1 ] ; elseif ( hyperparameters(1)<1 && hyperparameters(2)>1-eps ) || ( abs(hyperparameters(1)-1)<2*eps && hyperparameters(2)>1 ) m = 0; elseif ( hyperparameters(1)>1 && hyperparameters(2)<1+eps ) || ( abs(hyperparameters(1)-1)<2*eps && hyperparameters(2)<1 ) m = 1; elseif ( abs(hyperparameters(1)-1)<2*eps && abs(hyperparameters(2)-1)<2*eps )% Uniform distribution! m = .5 ; end if length(hyperparameters)==4 m = m*(hyperparameters(4)-hyperparameters(3)) + hyperparameters(3) ; end case 2 if hyperparameters(1)<1 m = 0; else m = (hyperparameters(1)-1)*hyperparameters(2); end if length(hyperparameters)>2 m = m + hyperparameters(3); end case 3 m = hyperparameters(1); case 4 % s = hyperparameters(1) % nu = hyperparameters(2) m = 1/sqrt((hyperparameters(2)+1)/hyperparameters(1)); if length(hyperparameters)>2 m = m + hyperparameters(3); end case 5 m = hyperparameters(1); case 6 % s = hyperparameters(1) % nu = hyperparameters(2) m = hyperparameters(1)/(hyperparameters(2)+2) ; if length(hyperparameters)>2 m = m + hyperparameters(3) ; end case 8 % s = hyperparameters(1) [scale parameter] % k = hyperparameters(2) [shape parameter] if hyperparameters(2)<=1 m = 0; else m = hyperparameters(1)*((hyperparameters(2)-1)/hyperparameters(2))^(1/hyperparameters(2)) end if length(hyperparameters)>2 % Add location parameter m = m + hyperparameters(3) ; end otherwise error('Unknown prior shape!') end