probability.m 1.28 KB
Newer Older
1
2
function [prior,likelihood,C,posterior] = probability(mu,sqrtP,prior,X)

Stéphane Adjemian's avatar
Stéphane Adjemian committed
3
% Copyright (C) 2013-2017 Dynare Team
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
%
% 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 <http://www.gnu.org/licenses/>.

Stéphane Adjemian's avatar
Stéphane Adjemian committed
20
[dim,nov] = size(X);
21
22
M = size(mu,2) ;
if nargout>1
Stéphane Adjemian's avatar
Stéphane Adjemian committed
23
24
25
26
27
28
29
30
    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
31
32
33
end
likelihood = likelihood + 1e-99;
if nargout>2
Stéphane Adjemian's avatar
Stéphane Adjemian committed
34
    C = prior*likelihood + 1e-99;
35
36
end
if nargout>3
Stéphane Adjemian's avatar
Stéphane Adjemian committed
37
38
    posterior = bsxfun(@rdivide,bsxfun(@times,prior',likelihood),C) + 1e-99 ;
    posterior = bsxfun(@rdivide,posterior,sum(posterior,1));
39
end