64 lines
3.3 KiB
Matlab
64 lines
3.3 KiB
Matlab
function [xparams, lpd, hessian_mat] = ...
|
|
maximize_prior_density(iparams, names, options_, M_, Prior, estim_params_, oo_)
|
|
|
|
% Maximizes the logged prior density using Chris Sims' optimization routine.
|
|
%
|
|
% INPUTS
|
|
% - iparams [double] vector of initial parameters.
|
|
% - Prior [dprior] vector specifying prior densities shapes.
|
|
% - DynareOptions [struct] Options, AKA options_
|
|
% - DynareModel [struct] Model description, AKA M_
|
|
% - EstimatedParams [struct] Info about estimated parameters, AKA estimated_params_
|
|
% - DynareResults [struct] Results, AKA oo_
|
|
|
|
%
|
|
%
|
|
% prior_shape [integer] vector specifying prior densities shapes.
|
|
% prior_hyperparameter_1 [double] vector, first hyperparameter.
|
|
% prior_hyperparameter_2 [double] vector, second hyperparameter.
|
|
% prior_inf_bound [double] vector, prior's lower bound.
|
|
% prior_sup_bound [double] vector, prior's upper bound.
|
|
% options_ [structure] describing the options
|
|
% bayestopt_ [structure] describing the priors
|
|
% M_ [structure] describing the model
|
|
% estim_params_ [structure] characterizing parameters to be estimated
|
|
% oo_ [structure] storing the results
|
|
%
|
|
% OUTPUTS
|
|
% xparams [double] vector, prior mode.
|
|
% lpd [double] scalar, value of the logged prior density at the mode.
|
|
% hessian_mat [double] matrix, Hessian matrix at the prior mode.
|
|
|
|
% 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 <https://www.gnu.org/licenses/>.
|
|
|
|
[xparams, lpd, ~, hessian_mat] = dynare_minimize_objective('minus_logged_prior_density', ...
|
|
iparams, ...
|
|
options_.mode_compute, ...
|
|
options_, ...
|
|
[Prior.p3, Prior.p4], ...
|
|
names, ...
|
|
[], ...
|
|
[], ...
|
|
Prior, ...
|
|
options_, ...
|
|
M_, ...
|
|
estim_params_, ...
|
|
oo_);
|
|
|
|
lpd = -lpd;
|