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, % shape=8 => Weibull 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 © 2009-2023 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 % a = hyperparameters(1) [shape parameter] % b = hyperparameters(2) [scale parameter] 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 % k = hyperparameters(1) [shape parameter] % s = hyperparameters(2) [scale parameter] if hyperparameters(1)<=1 m = 0; else m = hyperparameters(2)*((hyperparameters(1)-1)/hyperparameters(1))^(1/hyperparameters(1)); end if length(hyperparameters)>2 % Add location parameter m = m + hyperparameters(3) ; end otherwise error('Unknown prior shape!') end return % --*-- Unit tests --*-- %@test:1 % Beta density try m1 = compute_prior_mode([2 1],1); m2 = compute_prior_mode([2 5 1 4],1); % Wolfram Alpha: BetaDistribution[2,5] t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,1,1e-6); t(3) = dassert(m2,1/5*3+1,1e-6); end T = all(t); %@eof:1 %@test:2 % Gamma density try m1 = compute_prior_mode([1 2],2); m2 = compute_prior_mode([9 0.5 1],2); % Wolfram Alpha: GammaDistribution[9,0.5] t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,0,1e-6); t(3) = dassert(m2,4+1,1e-6); end T = all(t); %@eof:2 %@test:3 % Normal density try m1 = compute_prior_mode([1 1],3); m2 = compute_prior_mode([2 5],3); t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,1,1e-6); t(3) = dassert(m2,2,1e-6); end T = all(t); %@eof:3 %@test:4 % Inverse Gamma I density try m1 = compute_prior_mode([8 2],4); m2 = compute_prior_mode([8 2 1],4); t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,1.632993161855452,1e-6); t(3) = dassert(m2,1.632993161855452+1,1e-6); end T = all(t); %@eof:4 %@test:5 % Uniform density try m1 = compute_prior_mode([0.5 1/sqrt(12)],5); m2 = compute_prior_mode([2 5 1 2],5); t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,0.5,1e-6); t(3) = dassert(m2,2,1e-6); end T = all(t); %@eof:5 %@test:6 % Inverse Gamma II density, parameterized with s and nu where s=2*beta and nu=2*alpha try m1 = compute_prior_mode([8 2],6); % Wolfram Alpha, parameterized with alpha beta: InversegammaDistribution[1,4] m2 = compute_prior_mode([8 4 1],6); % Wolfram Alpha, parameterized with alpha beta: InversegammaDistribution[2,4] t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,2,1e-6); t(3) = dassert(m2,1+4/3,1e-6); end T = all(t); %@eof:6 %@test:7 % Weibull density try m1 = compute_prior_mode([1 1],8); m2 = compute_prior_mode([2 1 1],8); % Wolfram Alpha: WeibullDistribution[2,1] t(1) = true; catch t(1) = false; end % Check the results if t(1) t(2) = dassert(m1,0,1e-6); t(3) = dassert(m2,1+1/sqrt(2),1e-6); end T = all(t); %@eof:7 %@test:8 % Unknown density try m1 = compute_prior_mode([1 1],7); t(1) = false; catch t(1) = true; end T = all(t); %@eof:8