67 lines
2.6 KiB
Matlab
67 lines
2.6 KiB
Matlab
function [mean, covariance, mode, kernel_at_the_mode] = compute_mh_covariance_matrix(names, fname, dname, outputFolderName)
|
||
|
||
% Estimation of the posterior covariance matrix, posterior mean, posterior mode and evaluation of the posterior kernel at the
|
||
% estimated mode, using posterior draws from a metropolis-hastings.
|
||
%
|
||
% INPUTS
|
||
% - names [cell] n×1 cell array of row char arrays, names of the estimated parameters.
|
||
% - fname [char] name of the model
|
||
% - dname [char] name of subfolder with output files
|
||
% - outputFolderName [char] name of directory to store results
|
||
%
|
||
% OUTPUTS
|
||
% - mean [double] n×1 vector, posterior expectation of the parameters.
|
||
% - covariance [double] n×n matrix, posterior covariance of the parameters.
|
||
% - mode [double] n×1 vector, posterior mode of the parameters.
|
||
% - kernel_at_the_mode [double] scalar, value of the posterior kernel at the mode.
|
||
|
||
% Copyright © 2006-2023 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 <https://www.gnu.org/licenses/>.
|
||
|
||
MetropolisFolder = CheckPath('metropolis',dname);
|
||
BaseName = [MetropolisFolder filesep fname];
|
||
|
||
record=load_last_mh_history_file(MetropolisFolder, fname);
|
||
|
||
FirstMhFile = record.KeepedDraws.FirstMhFile;
|
||
FirstLine = record.KeepedDraws.FirstLine;
|
||
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
|
||
|
||
[nblck, n] = size(record.LastParameters);
|
||
|
||
kernel_at_the_mode = -Inf;
|
||
mean = zeros(n,1);
|
||
mode = NaN(n,1);
|
||
covariance = zeros(n,n);
|
||
offset = 0;
|
||
|
||
for b=1:nblck
|
||
first_line = FirstLine;
|
||
for n = FirstMhFile:TotalNumberOfMhFiles
|
||
load([ BaseName '_mh' int2str(n) '_blck' int2str(b) '.mat'],'x2','logpo2');
|
||
[tmp, idx] = max(logpo2);
|
||
if tmp>kernel_at_the_mode
|
||
kernel_at_the_mode = tmp;
|
||
mode = x2(idx,:);
|
||
end
|
||
[mean, covariance, offset] = recursive_moments(mean, covariance, x2(first_line:end,:), offset);
|
||
first_line = 1;
|
||
end
|
||
end
|
||
|
||
mode = transpose(mode);
|