110 lines
3.6 KiB
Matlab
110 lines
3.6 KiB
Matlab
function mh_autocorrelation_function(options_,M_,estim_params_,type,blck,name1,name2)
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% This function plots the autocorrelation of the sampled draws in the
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% posterior distribution.
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%
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%
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% INPUTS
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%
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% options_ [structure] Dynare structure.
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% M_ [structure] Dynare structure (related to model definition).
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% estim_params_ [structure] Dynare structure (related to estimation).
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% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error) or 'StructuralShock' (for structural shock).
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% blck [integer] Number of the mh chain.
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% name1 [string] Object name.
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% name2 [string] Object name.
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%
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% OUTPUTS
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% None
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%
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% SPECIAL REQUIREMENTS
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% Copyright © 2003-2023 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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% Cet the column index:
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if nargin<7
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column = name2index(options_, M_, estim_params_, type, name1);
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else
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column = name2index(options_, M_, estim_params_, type, name1, name2);
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end
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if isempty(column)
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return
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end
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% Get informations about the posterior draws:
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MetropolisFolder = CheckPath('metropolis',M_.dname);
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record=load_last_mh_history_file(MetropolisFolder, M_.fname);
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine; ifil = FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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nblck = size(record.LastParameters,1);
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clear record;
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% Get all the posterior draws:
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PosteriorDraws = GetAllPosteriorDraws(M_.dname, M_.fname, column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, NumberOfDraws, nblck, blck);
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% Compute the autocorrelation function:
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[autocov,autocor] = sample_autocovariance(PosteriorDraws,options_.mh_autocorrelation_function_size);
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% Plot the posterior draws:
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if strcmpi(type,'DeepParameter')
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TYPE = 'parameter ';
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elseif strcmpi(type,'StructuralShock')
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if nargin<7
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TYPE = 'the standard deviation of structural shock ';
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else
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TYPE = 'the correlation between structural shocks ';
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end
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elseif strcmpi(type,'MeasurementError')
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if nargin<7
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TYPE = 'the standard deviation of measurement error ';
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else
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TYPE = 'the correlation between measurement errors ';
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end
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end
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if nargin<7
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FigureName = ['Autocorrelogram for ' TYPE name1];
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else
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FigureName = ['Autocorrelogram for ' TYPE name1 ' and ' name2];
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end
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if options_.mh_nblck>1
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FigureName = [ FigureName , ' (block number' int2str(blck) ').'];
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end
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hh_fig=dyn_figure(options_.nodisplay,'Name',FigureName);
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bar(0:options_.mh_autocorrelation_function_size,autocor,'k');
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axis tight
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% create subdirectory <dname>/graphs if it doesn't exist
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if ~exist(M_.dname, 'dir')
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mkdir('.',M_.dname);
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end
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if ~exist([M_.dname filesep 'graphs'])
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mkdir(M_.dname,'graphs');
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end
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plot_name=get_the_name(column,0,M_,estim_params_,options_.varobs);
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dyn_saveas(hh_fig,[M_.dname, filesep, 'graphs', filesep, 'MH_Autocorrelation_' plot_name],options_.nodisplay,options_.graph_format)
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