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function [mean, variance] = GetPosteriorMeanVariance(options_, M_)
% [mean,variance] = GetPosteriorMeanVariance(options_, M_)
% Computes the posterior mean and variance
% (+updates of oo_ & TeX output).
%
% INPUTS
% - options_ [struct] Dynare's options.
% - M_ [struct] Description of the model.
%
% OUTPUTS
% - mean [double] n×1 vector, posterior expectation.
% - variance [double] n×n matrix, posterior variance.
% Copyright © 2012-2023 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
if ishssmc(options_)
% Load draws from the posterior distribution
pfiles = dir(sprintf('%s/hssmc/particles-*.mat', M_.dname));
posterior = load(sprintf('%s/hssmc/particles-%u-%u.mat', M_.dname, length(pfiles), length(pfiles)));
% Compute the posterior mean
mean = sum(posterior.particles, 2)/length(posterior.tlogpostkernel);
% Compute the posterior covariance
variance = (posterior.particles-mean)*(posterior.particles-mean)'/length(posterior.tlogpostkernel);
else
MetropolisFolder = CheckPath('metropolis',M_.dname);
FileName = M_.fname;
BaseName = [MetropolisFolder filesep FileName];
record=load_last_mh_history_file(MetropolisFolder, FileName);
NbrDraws = sum(record.MhDraws(:,1));
NbrFiles = sum(record.MhDraws(:,2));
NbrBlocks = record.Nblck;
mean = 0;
variance = 0;
NbrKeptDraws = 0;
for i=1:NbrBlocks
NbrDrawsCurrentBlock = 0;
for j=1:NbrFiles
o = load([BaseName '_mh' int2str(j) '_blck' int2str(i),'.mat']);
NbrDrawsCurrentFile = size(o.x2,1);
if NbrDrawsCurrentBlock + NbrDrawsCurrentFile <= options_.mh_drop*NbrDraws
NbrDrawsCurrentBlock = NbrDrawsCurrentBlock + NbrDrawsCurrentFile;
continue
elseif NbrDrawsCurrentBlock < options_.mh_drop*NbrDraws
FirstDraw = ceil(options_.mh_drop*NbrDraws - NbrDrawsCurrentBlock + 1);
x2 = o.x2(FirstDraw:end,:);
else
x2 = o.x2;
end
NbrKeptDrawsCurrentFile = size(x2,1);
%recursively compute mean and variance
mean = (NbrKeptDraws*mean + sum(x2)')/(NbrKeptDraws+NbrKeptDrawsCurrentFile);
x2Demeaned = bsxfun(@minus,x2,mean');
variance = (NbrKeptDraws*variance + x2Demeaned'*x2Demeaned)/(NbrKeptDraws+NbrKeptDrawsCurrentFile);
NbrDrawsCurrentBlock = NbrDrawsCurrentBlock + NbrDrawsCurrentFile;
NbrKeptDraws = NbrKeptDraws + NbrKeptDrawsCurrentFile;
end
end
end
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