102 lines
4.6 KiB
HTML
102 lines
4.6 KiB
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<title>Description of inverse_gamma_specification</title>
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > inverse_gamma_specification.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>inverse_gamma_specification
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong></strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function [s,nu] = inverse_gamma_specification(mu,sigma,type) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment">
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mu --> expectation
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sigma --> standard deviation
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type = 1 --> Inverse Gamma 1
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type = 2 --> Inverse Gamma 2
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stephane.adjemian@cepremap.cnrs.fr [01/14/2004]</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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</ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="set_prior.html" class="code" title="function [xparam1,estim_params_,bayestopt_,lb,ub]=set_prior(estim_params_)">set_prior</a> </li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <a name="_sub0" href="#_subfunctions" class="code">function [s,nu] = inverse_gamma_specification(mu,sigma,type)</a>
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0002 <span class="comment">%</span>
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0003 <span class="comment">% mu --> expectation</span>
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0004 <span class="comment">% sigma --> standard deviation</span>
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0005 <span class="comment">% type = 1 --> Inverse Gamma 1</span>
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0006 <span class="comment">% type = 2 --> Inverse Gamma 2</span>
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0007 <span class="comment">%</span>
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0008 <span class="comment">% stephane.adjemian@cepremap.cnrs.fr [01/14/2004]</span>
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0009
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0010
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0011 sigma2 = sigma^2;
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0012 mu2 = mu^2;
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0013
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0014 <span class="keyword">if</span> type == 2; <span class="comment">% Inverse Gamma 2</span>
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0015 nu = 2*(2+mu2/sigma2);
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0016 s = 2*mu*(1+mu2/sigma2);
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0017 <span class="keyword">elseif</span> type == 1; <span class="comment">% Inverse Gamma 1</span>
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0018 <span class="keyword">if</span> sigma2 < Inf;
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0019 nu = sqrt(2*(2+mu2/sigma2));
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0020 nu2 = 2*nu;
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0021 nu1 = 2;
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0022 err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
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0023 <span class="keyword">while</span> abs(nu2-nu1) > 1e-12
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0024 <span class="keyword">if</span> err > 0
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0025 nu1 = nu;
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0026 <span class="keyword">if</span> nu < nu2
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0027 nu = nu2;
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0028 <span class="keyword">else</span>
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0029 nu = 2*nu;
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0030 nu2 = nu;
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0031 <span class="keyword">end</span>
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0032 <span class="keyword">else</span>
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0033 nu2 = nu;
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0034 <span class="keyword">end</span>
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0035 nu = (nu1+nu2)/2;
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0036 err = 2*mu2*gamma(nu/2)^2-(sigma2+mu2)*(nu-2)*gamma((nu-1)/2)^2;
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0037 <span class="keyword">end</span>
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0038 s = (sigma2+mu2)*(nu-2);
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0039 <span class="keyword">else</span>;
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0040 nu = 2;
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0041 s = 2*mu2/pi;
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0042 <span class="keyword">end</span>;
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0043 <span class="keyword">else</span>;
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0044 s = -1;
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0045 nu = -1;
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0046 <span class="keyword">end</span>;
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0047
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0048 <span class="comment">% 01/18/2004 MJ replaced fsolve with secant</span>
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0049 <span class="comment">% suppressed chck</span>
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0050 <span class="comment">% changed order of output parameters</span></pre></div>
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