probability3.m 1.33 KB
 Frédéric Karamé committed Dec 04, 2015 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 ``````function [prior,likelihood,C,posterior] = probability3(mu,sqrtP,prior,X,X_weights) % Copyright (C) 2013 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 . [dim,nov] = size(X); M = size(mu,2) ; if nargout>1 likelihood = zeros(M,nov); normfact = (2*pi)^(dim/2); for k=1:M XX = bsxfun(@minus,X,mu(:,k)); S = sqrtP(:,:,k); foo = S \ XX; likelihood(k,:) = exp(-0.5*sum(foo.*foo, 1))/abs((normfact*prod(diag(S)))); end end wlikelihood = bsxfun(@times,X_weights,likelihood) + 1e-99; if nargout>2 C = prior*wlikelihood + 1e-99; end if nargout>3 posterior = bsxfun(@rdivide,bsxfun(@times,prior',wlikelihood),C) + 1e-99 ; posterior = bsxfun(@rdivide,posterior,sum(posterior,1)); end``````