0001 function marginal = marginal_density()
0002
0003 global M_ options_ estim_params_ oo_
0004
0005 npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
0006 nblck = options_.mh_nblck;
0007
0008 MhDirectoryName = CheckPath('metropolis');
0009 load([ MhDirectoryName '/' M_.fname '_mh_history'])
0010
0011 FirstMhFile = record.KeepedDraws.FirstMhFile;
0012 FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
0013 TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
0014 TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
0015 MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
0016 TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
0017
0018 MU = zeros(1,npar);
0019 SIGMA = zeros(npar,npar);
0020 lpost_mode = -Inf;
0021
0022 fprintf('MH: I''m computing the posterior mean... ');
0023 for n = FirstMhFile:TotalNumberOfMhFiles
0024 for b = 1:nblck
0025 load([ MhDirectoryName '/' M_.fname '_mh' int2str(n) '_blck' int2str(b)],'x2','logpo2');
0026 MU = MU + sum(x2(ifil:end,:));
0027 lpost_mode = max(lpost_mode,max(logpo2));
0028 end
0029 ifil = 1;
0030 end
0031 MU = MU/((TotalNumberOfMhDraws-TODROP)*nblck);
0032 MU1 = repmat(MU,MAX_nruns,1);
0033
0034 fprintf(' Done!\n');
0035 fprintf('MH: I''m computing the posterior covariance matrix... ');
0036 ifil = FirstLine;
0037 for n = FirstMhFile:TotalNumberOfMhFiles
0038 for b = 1:nblck
0039 load([MhDirectoryName '/' M_.fname '_mh' int2str(n) '_blck' int2str(b)],'x2');
0040 x = x2(ifil:end,:)-MU1(1:size(x2(ifil:end,:),1),:);
0041 SIGMA = SIGMA + x'*x;
0042 end
0043 ifil = 1;
0044 end
0045 SIGMA = SIGMA/((TotalNumberOfMhDraws-TODROP)*nblck);
0046 fprintf(' Done!\n');
0047 disp(' ');
0048 disp('MH: I''m computing the posterior log marginale density (modified harmonic mean)... ');
0049 detSIGMA = det(SIGMA);
0050 invSIGMA = inv(SIGMA);
0051 marginal = zeros(9,2);
0052 linee = 0;
0053 check_coverage = 1;
0054 increase = 1;
0055 while check_coverage
0056 for p = 0.1:0.1:0.9;
0057 critval = qchisq(p,npar);
0058 ifil = FirstLine;
0059 tmp = 0;
0060 for n = FirstMhFile:TotalNumberOfMhFiles
0061 for b=1:nblck
0062 load([ MhDirectoryName '/' M_.fname '_mh' int2str(n) '_blck' int2str(b)],'x2','logpo2');
0063 EndOfFile = size(x2,1);
0064 for i = ifil:EndOfFile
0065 deviation = (x2(i,:)-MU)*invSIGMA*(x2(i,:)-MU)';
0066 if deviation <= critval
0067 lftheta = -log(p)-(npar*log(2*pi)+log(detSIGMA)+deviation)/2;
0068 tmp = tmp + exp(lftheta - logpo2(i) + lpost_mode);
0069 end
0070 end
0071 end
0072 ifil = 1;
0073 end
0074 linee = linee + 1;
0075 warning off all
0076 marginal(linee,:) = [p, lpost_mode-log(tmp/((TotalNumberOfMhDraws-TODROP)*nblck))];
0077 warning on all
0078 end
0079 if abs((marginal(9,2)-marginal(1,2))/marginal(9,2)) > 0.01 | isinf(marginal(1,2))
0080 if increase == 1
0081 disp('MH: The support of the weighting density function is not large enough...')
0082 disp('MH: I increase the variance of this distribution.')
0083 increase = 1.2*increase;
0084 invSIGMA = inv(SIGMA*increase);
0085 detSIGMA = det(SIGMA*increase);
0086 linee = 0;
0087 else
0088 disp('MH: Let me try again.')
0089 increase = 1.2*increase;
0090 invSIGMA = inv(SIGMA*increase);
0091 detSIGMA = det(SIGMA*increase);
0092 linee = 0;
0093 if increase > 20
0094 check_coverage = 0;
0095 clear invSIGMA detSIGMA increase;
0096 disp('MH: There''s probably a problem with the modified harmonic mean estimator.')
0097 end
0098 end
0099 else
0100 check_coverage = 0;
0101 clear invSIGMA detSIGMA increase;
0102 disp('MH: Modified harmonic mean estimator, done!')
0103 end
0104 end
0105
0106 oo_.MarginalDensity.ModifiedHarmonicMean = mean(marginal(:,2));