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