48 lines
1.3 KiB
Matlab
48 lines
1.3 KiB
Matlab
function Ifac = mcmc_ifac(X, Nc)
|
|
% function Ifac = mcmc_ifac(X, Nc)
|
|
% Compute inefficiency factor of a MCMC sample X
|
|
%
|
|
% INPUTS
|
|
% X: time series
|
|
% Nc: # of lags
|
|
%
|
|
% OUTPUTS
|
|
% Ifac: inefficiency factor of MCMC sample
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% none
|
|
|
|
% Copyright (C) 2015 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 <http://www.gnu.org/licenses/>.
|
|
|
|
Nc = floor(min(Nc, length(X)/2));
|
|
if mod(Nc,2),
|
|
Nc=Nc-1;
|
|
end
|
|
AcorrXSIM = autocorr(X(:), Nc);
|
|
%
|
|
%Calculate the Parzen Weight
|
|
Parzen=zeros(Nc+1,1);
|
|
for i=1: Nc/2+1
|
|
Parzen(i)=1 - 6*(i/Nc)^2+ 6*(i/Nc)^3;
|
|
end
|
|
for i=(Nc/2)+1: Nc+1
|
|
Parzen(i)=2 * (1-(i/Nc))^3;
|
|
end
|
|
Parzen=Parzen';
|
|
Ifac= 1+2*sum(Parzen(:).* AcorrXSIM);
|