59 lines
3.0 KiB
Matlab
59 lines
3.0 KiB
Matlab
function [xparams, lpd, hessian_mat] = ...
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maximize_prior_density(iparams, names, DynareOptions, DynareModel, Prior, EstimatedParams, DynareResults)
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% Maximizes the logged prior density using Chris Sims' optimization routine.
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%
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% INPUTS
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% - iparams [double] vector of initial parameters.
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% - Prior [dprior] vector specifying prior densities shapes.
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% - DynareOptions [struct] Options, AKA options_
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% - DynareModel [struct] Model description, AKA M_
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% - EstimatedParams [struct] Info about estimated parameters, AKA estimated_params_
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% - DynareResults [struct] Results, AKA oo_
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%
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%
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% prior_shape [integer] vector specifying prior densities shapes.
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% prior_hyperparameter_1 [double] vector, first hyperparameter.
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% prior_hyperparameter_2 [double] vector, second hyperparameter.
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% prior_inf_bound [double] vector, prior's lower bound.
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% prior_sup_bound [double] vector, prior's upper bound.
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%
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% OUTPUTS
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% xparams [double] vector, prior mode.
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% lpd [double] scalar, value of the logged prior density at the mode.
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% hessian_mat [double] matrix, Hessian matrix at the prior mode.
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% Copyright © 2009-2017 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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[xparams, lpd, exitflag, hessian_mat] = dynare_minimize_objective('minus_logged_prior_density', ...
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iparams, ...
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DynareOptions.mode_compute, ...
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DynareOptions, ...
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[Prior.p3, Prior.p4], ...
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BayesInfo.name, ...
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[], ...
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[], ...
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Prior,
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DynareOptions, ...
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DynareModel, ...
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EstimatedParams, ...
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DynareResults);
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lpd = -lpd;
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