55 lines
1.8 KiB
Matlab
55 lines
1.8 KiB
Matlab
function [mean,variance] = GetPosteriorMeanVariance(M,drop)
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% Copyright (C) 2012, 2013 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 <http://www.gnu.org/licenses/>.
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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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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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z = [];
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nkept = 0;
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for i=1:NbrBlocks
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n = 0;
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for j=1:NbrFiles
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o = load([BaseName '_mh' int2str(j) '_blck' int2str(i)]);
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m = size(o.x2,1);
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if n + m < drop*NbrDraws
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n = n + m;
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continue
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elseif n < drop*NbrDraws
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k = ceil(drop*NbrDraws - n + 1);
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x2 = o.x2(k:end,:);
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else
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x2 = o.x2;
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end
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z =[z; x2];
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p = size(x2,1);
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mean = (nkept*mean + sum(x2)')/(nkept+p);
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x = bsxfun(@minus,x2,mean');
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variance = (nkept*variance + x'*x)/(nkept+p);
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n = n + m;
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nkept = nkept + p;
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end
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end
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