40 lines
1.3 KiB
Matlab
40 lines
1.3 KiB
Matlab
function [prior,likelihood,C,posterior] = probability3(mu,sqrtP,prior,X,X_weights)
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% Copyright © 2013-2017 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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[dim,nov] = size(X);
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M = size(mu,2) ;
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if nargout>1
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likelihood = zeros(M,nov);
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normfact = (2*pi)^(dim/2);
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for k=1:M
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XX = bsxfun(@minus,X,mu(:,k));
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S = sqrtP(:,:,k);
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foo = S \ XX;
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likelihood(k,:) = exp(-0.5*sum(foo.*foo, 1))/abs((normfact*prod(diag(S))));
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end
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end
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wlikelihood = bsxfun(@times,X_weights,likelihood) + 1e-99;
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if nargout>2
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C = prior*wlikelihood + 1e-99;
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end
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if nargout>3
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posterior = bsxfun(@rdivide,bsxfun(@times,prior',wlikelihood),C) + 1e-99 ;
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posterior = bsxfun(@rdivide,posterior,sum(posterior,1));
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end
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