74 lines
3.1 KiB
Matlab
74 lines
3.1 KiB
Matlab
function [mean, variance] = GetPosteriorMeanVariance(options_, M_)
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% [mean,variance] = GetPosteriorMeanVariance(options_, M_)
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% Computes the posterior mean and variance
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% (+updates of oo_ & TeX output).
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%
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% INPUTS
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% - options_ [struct] Dynare's options.
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% - M_ [struct] Description of the model.
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%
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% OUTPUTS
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% - mean [double] n×1 vector, posterior expectation.
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% - variance [double] n×n matrix, posterior variance.
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% Copyright © 2012-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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if ishssmc(options_)
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% Load draws from the posterior distribution
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pfiles = dir(sprintf('%s/hssmc/particles-*.mat', M_.dname));
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posterior = load(sprintf('%s/hssmc/particles-%u-%u.mat', M_.dname, length(pfiles), length(pfiles)));
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% Compute the posterior mean
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mean = sum(posterior.particles, 2)/length(posterior.tlogpostkernel);
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% Compute the posterior covariance
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variance = (posterior.particles-mean)*(posterior.particles-mean)'/length(posterior.tlogpostkernel);
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else
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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FileName = M_.fname;
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BaseName = [MetropolisFolder filesep FileName];
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record=load_last_mh_history_file(MetropolisFolder, FileName);
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NbrDraws = sum(record.MhDraws(:,1));
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NbrFiles = sum(record.MhDraws(:,2));
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NbrBlocks = record.Nblck;
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mean = 0;
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variance = 0;
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NbrKeptDraws = 0;
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for i=1:NbrBlocks
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NbrDrawsCurrentBlock = 0;
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for j=1:NbrFiles
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o = load([BaseName '_mh' int2str(j) '_blck' int2str(i),'.mat']);
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NbrDrawsCurrentFile = size(o.x2,1);
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if NbrDrawsCurrentBlock + NbrDrawsCurrentFile <= options_.mh_drop*NbrDraws
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NbrDrawsCurrentBlock = NbrDrawsCurrentBlock + NbrDrawsCurrentFile;
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continue
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elseif NbrDrawsCurrentBlock < options_.mh_drop*NbrDraws
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FirstDraw = ceil(options_.mh_drop*NbrDraws - NbrDrawsCurrentBlock + 1);
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x2 = o.x2(FirstDraw:end,:);
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else
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x2 = o.x2;
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end
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NbrKeptDrawsCurrentFile = size(x2,1);
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%recursively compute mean and variance
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mean = (NbrKeptDraws*mean + sum(x2)')/(NbrKeptDraws+NbrKeptDrawsCurrentFile);
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x2Demeaned = bsxfun(@minus,x2,mean');
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variance = (NbrKeptDraws*variance + x2Demeaned'*x2Demeaned)/(NbrKeptDraws+NbrKeptDrawsCurrentFile);
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NbrDrawsCurrentBlock = NbrDrawsCurrentBlock + NbrDrawsCurrentFile;
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NbrKeptDraws = NbrKeptDraws + NbrKeptDrawsCurrentFile;
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end
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end
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end
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