Commit 68baa83f authored by assia's avatar assia
Browse files

header updated

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1657 ac1d8469-bf42-47a9-8791-bf33cf982152
parent 6c3ea44e
function optimal_bandwidth = mh_optimal_bandwidth(data,n,bandwidth,kernel_function)
%% This function gives the optimal bandwidth parameter of a kernel estimator
%% used to estimate a posterior univariate density from realisations of a
%% Metropolis-Hastings algorithm.
%%
%% * M. Skold and G.O. Roberts [2003], "Density estimation for the Metropolis-Hastings algorithm".
%% * Silverman [1986], "Density estimation for statistics and data analysis".
%%
%% data :: a vector with n elements.
%% bandwidth :: a scalar equal to 0,-1 or -2. For a value different from 0,-1 or -2 the
%% function will return optimal_bandwidth = bandwidth.
%% kernel_function :: 'gaussian','uniform','triangle','epanechnikov',
%% 'quartic','triweight','cosinus'.
%%
%% stephane.adjemian@cepremap.cnrs.fr [07-15-2004] <-- [01/16/2004]
% function optimal_bandwidth = mh_optimal_bandwidth(data,n,bandwidth,kernel_function)
% This function gives the optimal bandwidth parameter of a kernel estimator
% used to estimate a posterior univariate density from realisations of a
% Metropolis-Hastings algorithm.
%
% INPUTS:
% data: vector with n elements
% n: number of observations
% bandwidth: scalar equal to 0,-1 or -2. For a value different from 0,-1 or -2 the
% function will return optimal_bandwidth = bandwidth
% kernel_function: 'gaussian','uniform','triangle','epanechnikov', 'quartic','triweight','cosinus'
%
% OUTPUTS:
% optimal_bandwidth: optimal window width (kernel smoothing)
%
% SPECIAL REQUIREMENTS
% M. Skold and G.O. Roberts [2003], "Density estimation for the Metropolis-Hastings algorithm".
% Silverman [1986], "Density estimation for statistics and data analysis".
%
% part of DYNARE, copyright Dynare Team (2004-2007)
% Gnu Public License.
%% KERNEL SPECIFICATION...
......
Supports Markdown
0% or .
You are about to add 0 people to the discussion. Proceed with caution.
Finish editing this message first!
Please register or to comment