Estimation of the posterior covariance matrix, posterior mean, posterior mode and evaluation of the posterior kernel at the estimated mode, using the draws from a metropolis-hastings. The estimated posterior mode and covariance matrix are saved in a file <M_.fname>_mh_mode.mat. INPUTS None. OUTPUTS o posterior_mean [double] (n*1) vector, posterior expectation of the parameters. o posterior_covariance [double] (n*n) matrix, posterior covariance of the parameters (computed from previous metropolis hastings). o posterior_mode [double] (n*1) vector, posterior mode of the parameters. o posterior_kernel_at_the_mode [double] scalar. SPECIAL REQUIREMENTS None.
0001 function [posterior_mean,posterior_covariance,posterior_mode,posterior_kernel_at_the_mode] = compute_mh_covariance_matrix() 0002 % Estimation of the posterior covariance matrix, posterior mean, posterior mode and evaluation of the posterior kernel at the 0003 % estimated mode, using the draws from a metropolis-hastings. The estimated posterior mode and covariance matrix are saved in 0004 % a file <M_.fname>_mh_mode.mat. 0005 % 0006 % INPUTS 0007 % None. 0008 % 0009 % OUTPUTS 0010 % o posterior_mean [double] (n*1) vector, posterior expectation of the parameters. 0011 % o posterior_covariance [double] (n*n) matrix, posterior covariance of the parameters (computed from previous metropolis hastings). 0012 % o posterior_mode [double] (n*1) vector, posterior mode of the parameters. 0013 % o posterior_kernel_at_the_mode [double] scalar. 0014 % 0015 % SPECIAL REQUIREMENTS 0016 % None. 0017 0018 % Copyright (C) 2006-2010 Dynare Team 0019 % 0020 % This file is part of Dynare. 0021 % 0022 % Dynare is free software: you can redistribute it and/or modify 0023 % it under the terms of the GNU General Public License as published by 0024 % the Free Software Foundation, either version 3 of the License, or 0025 % (at your option) any later version. 0026 % 0027 % Dynare is distributed in the hope that it will be useful, 0028 % but WITHOUT ANY WARRANTY; without even the implied warranty of 0029 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 0030 % GNU General Public License for more details. 0031 % 0032 % You should have received a copy of the GNU General Public License 0033 % along with Dynare. If not, see <http://www.gnu.org/licenses/>. 0034 0035 global M_ options_ estim_params_ 0036 0037 0038 n = estim_params_.np + ... 0039 estim_params_.nvn+ ... 0040 estim_params_.ncx+ ... 0041 estim_params_.ncn+ ... 0042 estim_params_.nvx; 0043 nblck = options_.mh_nblck; 0044 0045 MhDirectoryName = CheckPath('metropolis',M_.dname); 0046 load([ MhDirectoryName '/' M_.fname '_mh_history.mat']) 0047 0048 FirstMhFile = record.KeepedDraws.FirstMhFile; 0049 FirstLine = record.KeepedDraws.FirstLine; 0050 TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); 0051 0052 posterior_kernel_at_the_mode = -Inf; 0053 posterior_mean = zeros(n,1); 0054 posterior_mode = NaN(n,1); 0055 posterior_covariance = zeros(n,n); 0056 offset = 0; 0057 0058 for b=1:nblck 0059 first_line = FirstLine; 0060 for n = FirstMhFile:TotalNumberOfMhFiles 0061 %for b = 1:nblck 0062 load([ MhDirectoryName '/' M_.fname '_mh' int2str(n) '_blck' int2str(b) '.mat'],'x2','logpo2'); 0063 [tmp,idx] = max(logpo2); 0064 if tmp>posterior_kernel_at_the_mode 0065 posterior_kernel_at_the_mode = tmp; 0066 posterior_mode = x2(idx,:); 0067 end 0068 [posterior_mean,posterior_covariance,offset] = recursive_moments(posterior_mean,posterior_covariance,x2(first_line:end,:),offset); 0069 first_line = 1; 0070 end 0071 end 0072 0073 xparam1 = posterior_mode'; 0074 hh = inv(posterior_covariance); 0075 fval = posterior_kernel_at_the_mode; 0076 0077 save([M_.fname '_mh_mode.mat'],'xparam1','hh','fval');