202 lines
6.6 KiB
Matlab
202 lines
6.6 KiB
Matlab
function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
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% This function builds trace plot for the Metropolis-Hastings draws.
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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),
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% 'StructuralShock' (for structural shock)
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% or 'PosteriorDensity (for posterior density)'
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% blck [integer] Number of the mh chain or chains if a
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% vector
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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 strcmpi(type,'PosteriorDensity')
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column=0;
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name1='';
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else
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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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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 = 1;
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FirstLine = 1;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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[mh_nblck] = size(record.LastParameters,2);
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clear record;
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n_nblocks_to_plot=length(blck);
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if n_nblocks_to_plot==1
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% Get all the posterior draws:
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PosteriorDraws = GetAllPosteriorDraws(M_.dname,M_.fname,column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck);
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else
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PosteriorDraws=NaN(TotalNumberOfMhDraws,n_nblocks_to_plot);
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save_string='';
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if options_.TeX
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title_string_tex='';
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end
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for block_iter=1:n_nblocks_to_plot
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PosteriorDraws(:,block_iter) = GetAllPosteriorDraws(M_.dname, M_.fname, column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, mh_nblck, blck(block_iter));
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save_string=[save_string,'_',num2str(blck(block_iter))];
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if options_.TeX
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title_string_tex=[title_string_tex, ', ' num2str(blck(block_iter))];
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end
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end
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save_string(1)=[];
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if options_.TeX
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title_string_tex(1:2)=[];
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end
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end
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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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elseif strcmpi(type,'PosteriorDensity')
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TYPE='the posterior density';
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end
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if nargin<7
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FigureName = ['Trace plot for ' TYPE name1];
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else
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FigureName = ['Trace plot for ' TYPE name1 ' and ' name2];
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end
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if n_nblocks_to_plot==1
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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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plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.7 .7 .7]);
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% Compute the moving average of the posterior draws:
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N = options_.trace_plot_ma;
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MovingAverage = NaN(TotalNumberOfMhDraws,1);
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first = N+1;
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last = TotalNumberOfMhDraws-N;
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for t=first:last
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MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
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end
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hold on
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plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
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hold off
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axis tight
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legend({'MCMC draw';[num2str(N) ' period moving average']},'Location','NorthEast')
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else
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hh_fig=dyn_figure(options_.nodisplay,'Name',FigureName);
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pp=plot(1:TotalNumberOfMhDraws,PosteriorDraws);
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legend(pp,strcat(repmat({'Chain '},n_nblocks_to_plot,1),num2str(blck(:))));
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end
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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'],'dir')
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mkdir(M_.dname,'graphs');
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end
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%get name for plot
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if strcmpi(type,'PosteriorDensity')
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plot_name='Posterior';
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else
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plot_name=get_the_name(column,0,M_,estim_params_,options_);
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end
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if n_nblocks_to_plot==1
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plot_name=[plot_name,'_blck_',num2str(blck)];
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else
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plot_name=[plot_name,'_blck_',save_string];
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end
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dyn_saveas(hh_fig,[M_.dname, filesep, 'graphs', filesep, 'TracePlot_' plot_name],options_.nodisplay,options_.graph_format)
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if options_.TeX
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fid=fopen([M_.dname,'/graphs/',M_.fname,'_TracePlot_' plot_name,'.tex'],'w+');
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if strcmpi(type,'DeepParameter')
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tex_names=M_.param_names_tex;
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base_names=M_.param_names;
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elseif strcmpi(type,'StructuralShock')
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tex_names=M_.exo_names_tex;
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base_names=M_.exo_names;
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elseif strcmpi(type,'MeasurementError')
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tex_names=M_.endo_names_tex;
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base_names=M_.endo_names;
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end
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if strcmpi(type,'PosteriorDensity')
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FigureName = ['Trace plot for ' TYPE name1];
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else
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if nargin<7
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FigureName = ['Trace plot for ' TYPE '$' tex_names{strmatch(name1,base_names,'exact')} '$'];
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else
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FigureName = ['Trace plot for ' TYPE '$' tex_names{strmatch(name1,base_names,'exact')} '$ and $' tex_names{strmatch(name2,base_names,'exact')} '$'];
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end
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end
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if n_nblocks_to_plot==1
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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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else
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FigureName = [ FigureName , ' (blocks ' title_string_tex ').'];
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end
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fprintf(fid,'%-s\n','\begin{figure}[H]');
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fprintf(fid,'%-s\n','\centering');
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fprintf(fid,'%-s\n',[' \includegraphics[width=0.8\textwidth]{',[M_.dname, '/graphs/TracePlot_' plot_name],'}\\']);
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fprintf(fid,'%-s\n',[' \caption{',FigureName,'}']);
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fprintf(fid,'%-s\n','\end{figure}');
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fclose(fid);
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end
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