152 lines
8.5 KiB
HTML
152 lines
8.5 KiB
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<title>Description of marginal_density</title>
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > marginal_density.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>marginal_density
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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>stephane.adjemian@ens.fr [09-09-2005]</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 marginal = marginal_density() </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"> stephane.adjemian@ens.fr [09-09-2005]</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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<li><a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a> 06-03-2005</li><li><a href="qchisq.html" class="code" title="function x = qchisq(p,a)">qchisq</a> QCHISQ The chisquare inverse distribution function</li></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="dynare_estimation.html" class="code" title="function dynare_estimation(var_list_)">dynare_estimation</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 marginal = marginal_density()</a>
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0002 <span class="comment">% stephane.adjemian@ens.fr [09-09-2005]</span>
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0003 <span class="keyword">global</span> M_ options_ estim_params_ oo_
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0004
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0005 npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
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0006 nblck = options_.mh_nblck;
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0007
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0008 MhDirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'metropolis'</span>);
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0009 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>])
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0010
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0011 FirstMhFile = record.KeepedDraws.FirstMhFile;
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0012 FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
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0013 TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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0014 TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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0015 MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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0016 TODROP = floor(options_.mh_drop*TotalNumberOfMhDraws);
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0017
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0018 MU = zeros(1,npar);
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0019 SIGMA = zeros(npar,npar);
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0020 lpost_mode = -Inf;
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0021
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0022 fprintf(<span class="string">'MH: I''m computing the posterior mean... '</span>);
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0023 <span class="keyword">for</span> n = FirstMhFile:TotalNumberOfMhFiles
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0024 <span class="keyword">for</span> b = 1:nblck
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0025 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(n) <span class="string">'_blck'</span> int2str(b)],<span class="string">'x2'</span>,<span class="string">'logpo2'</span>);
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0026 MU = MU + sum(x2(ifil:<span class="keyword">end</span>,:));
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0027 lpost_mode = max(lpost_mode,max(logpo2));
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0028 <span class="keyword">end</span>
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0029 ifil = 1;
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0030 <span class="keyword">end</span>
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0031 MU = MU/((TotalNumberOfMhDraws-TODROP)*nblck);
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0032 MU1 = repmat(MU,MAX_nruns,1);
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0033 <span class="comment">%% lpost_mode is the value of the log posterior kernel at the mode.</span>
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0034 fprintf(<span class="string">' Done!\n'</span>);
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0035 fprintf(<span class="string">'MH: I''m computing the posterior covariance matrix... '</span>);
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0036 ifil = FirstLine;
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0037 <span class="keyword">for</span> n = FirstMhFile:TotalNumberOfMhFiles
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0038 <span class="keyword">for</span> b = 1:nblck
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0039 load([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(n) <span class="string">'_blck'</span> int2str(b)],<span class="string">'x2'</span>);
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0040 x = x2(ifil:<span class="keyword">end</span>,:)-MU1(1:size(x2(ifil:<span class="keyword">end</span>,:),1),:);
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0041 SIGMA = SIGMA + x'*x;
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0042 <span class="keyword">end</span>
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0043 ifil = 1;
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0044 <span class="keyword">end</span>
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0045 SIGMA = SIGMA/((TotalNumberOfMhDraws-TODROP)*nblck);<span class="comment">%<=== Variance of the parameters (ok!)</span>
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0046 fprintf(<span class="string">' Done!\n'</span>);
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0047 disp(<span class="string">' '</span>);
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0048 disp(<span class="string">'MH: I''m computing the posterior log marginale density (modified harmonic mean)... '</span>);
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0049 detSIGMA = det(SIGMA);
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0050 invSIGMA = inv(SIGMA);
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0051 marginal = zeros(9,2);
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0052 linee = 0;
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0053 check_coverage = 1;
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0054 increase = 1;
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0055 <span class="keyword">while</span> check_coverage
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0056 <span class="keyword">for</span> p = 0.1:0.1:0.9;
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0057 critval = <a href="qchisq.html" class="code" title="function x = qchisq(p,a)">qchisq</a>(p,npar);
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0058 ifil = FirstLine;
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0059 tmp = 0;
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0060 <span class="keyword">for</span> n = FirstMhFile:TotalNumberOfMhFiles
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0061 <span class="keyword">for</span> b=1:nblck
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0062 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh'</span> int2str(n) <span class="string">'_blck'</span> int2str(b)],<span class="string">'x2'</span>,<span class="string">'logpo2'</span>);
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0063 EndOfFile = size(x2,1);
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0064 <span class="keyword">for</span> i = ifil:EndOfFile
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0065 deviation = (x2(i,:)-MU)*invSIGMA*(x2(i,:)-MU)';
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0066 <span class="keyword">if</span> deviation <= critval
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0067 lftheta = -log(p)-(npar*log(2*pi)+log(detSIGMA)+deviation)/2;
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0068 tmp = tmp + exp(lftheta - logpo2(i) + lpost_mode);
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0069 <span class="keyword">end</span>
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0070 <span class="keyword">end</span>
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0071 <span class="keyword">end</span>
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0072 ifil = 1;
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0073 <span class="keyword">end</span>
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0074 linee = linee + 1;
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0075 warning off all
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0076 marginal(linee,:) = [p, lpost_mode-log(tmp/((TotalNumberOfMhDraws-TODROP)*nblck))];
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0077 warning on all
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0078 <span class="keyword">end</span>
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0079 <span class="keyword">if</span> abs((marginal(9,2)-marginal(1,2))/marginal(9,2)) > 0.01 | isinf(marginal(1,2))
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0080 <span class="keyword">if</span> increase == 1
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0081 disp(<span class="string">'MH: The support of the weighting density function is not large enough...'</span>)
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0082 disp(<span class="string">'MH: I increase the variance of this distribution.'</span>)
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0083 increase = 1.2*increase;
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0084 invSIGMA = inv(SIGMA*increase);
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0085 detSIGMA = det(SIGMA*increase);
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0086 linee = 0;
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0087 <span class="keyword">else</span>
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0088 disp(<span class="string">'MH: Let me try again.'</span>)
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0089 increase = 1.2*increase;
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0090 invSIGMA = inv(SIGMA*increase);
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0091 detSIGMA = det(SIGMA*increase);
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0092 linee = 0;
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0093 <span class="keyword">if</span> increase > 20
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0094 check_coverage = 0;
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0095 clear invSIGMA detSIGMA increase;
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0096 disp(<span class="string">'MH: There''s probably a problem with the modified harmonic mean estimator.'</span>)
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0097 <span class="keyword">end</span>
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0098 <span class="keyword">end</span>
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0099 <span class="keyword">else</span>
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0100 check_coverage = 0;
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0101 clear invSIGMA detSIGMA increase;
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0102 disp(<span class="string">'MH: Modified harmonic mean estimator, done!'</span>)
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0103 <span class="keyword">end</span>
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0104 <span class="keyword">end</span>
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0105
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0106 oo_.MarginalDensity.ModifiedHarmonicMean = mean(marginal(:,2));</pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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