73 lines
2.1 KiB
Matlab
73 lines
2.1 KiB
Matlab
function [m0,s0] = compute_mh_covariance_matrix()
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% function [m0,s0] = compute_mh_covariance_matrix()
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% Estimation of the posterior covariance matrix and expectation.
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%
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% INPUTS
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% None.
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%
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% OUTPUTS
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% o m0 [double] (n*1) vector, posterior expectation of the parameters.
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% o s0 [double] (n*n) matrix, posterior covariance of the parameters
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% (computed from previous metropolis hastings).
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright (C) 2006-2008 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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global M_ options_ estim_params_
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n = estim_params_.np + ...
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estim_params_.nvn+ ...
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estim_params_.ncx+ ...
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estim_params_.ncn+ ...
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estim_params_.nvx;
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nblck = options_.mh_nblck;
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MhDirectoryName = CheckPath('metropolis');
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load([ MhDirectoryName '/' M_.fname '_mh_history.mat'])
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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params = zeros(1,n);
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oldlogpo2 = -Inf;
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offset = 0;
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m0 = zeros(n,1);
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s0 = zeros(n,n);
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for n = FirstMhFile:TotalNumberOfMhFiles
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for b = 1:nblck
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load([ MhDirectoryName '/' M_.fname '_mh' int2str(n) '_blck' int2str(b) '.mat'],'x2','logpo2');
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[tmp,idx] = max(logpo2);
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if tmp>oldlogpo2
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oldlogpo2 = tmp;
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params = x2(idx,:);
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end
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[m0,s0,offset] = recursive_moments(m0,s0,x2(FirstLine,:),offset);
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end
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FirstLine = 1;
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end
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xparam1 = params';
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hh = inv(s0);
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fval = oldlogpo2;
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save([M_.fname '_mh_mode.mat'],'xparam1','hh','fval'); |