結果の診断プログラム
#include <oxstd.h> #include <oxprob.h> #include <oxfloat.h> #include <oxdraw.h> //Calculate variance of time series fTsvar(const x, const Bm){ decl n,sp; // Calculate Spectral density function using // Bandwidth=Bm at 2 points (0, pi) and Parzen Window n=rows(x);sp=periodogram(x,Bm,2,1)/n; return M_2PI*sp[0]; } // Calculate p-value for Convergence (Geweke's Method) // H0: Convergence, H1: No Convergence fGeweke(const x, const Bm){ decl n,n1,n2,sp1,sp2,var1,var2,x1,x2,x1bar,x2bar,z; n=rows(x);n1=floor(0.1*n);n2=floor(0.5*n); x1=x[:n1-1];x2=x[n-n2:]; x1bar=meanc(x1);x2bar=meanc(x2); var1=fTsvar(x1,Bm);var2=fTsvar(x2,Bm); z=(x1bar-x2bar)/sqrt(var1/n1+var2/n2); return 2*tailn(fabs(z)); } // ************************************************* // Main Part // ************************************************* main(){ decl file,cm,crepeat,dbm,mx; decl x,x1,x2,z,pvalue,i,j,y1,y2; // rx: Number of Samples, bm:Bandowdth for Parzen Window // ci: Quantiles for Credible Intervals // dim_b: dimension of coeff. b // n_acf: # of points for ACF plot crepeat=10000;dbm=0.1*crepeat;cm=5; // read beta file = fopen("beta.txt");fscan(file,"%#m",crepeat,cm,&mx);fclose(file); // // Summary Statistics println( "%r",{"Const"}, "%c",{"Mean","Stdev","95%L","95%U","Geweke"}, meanc(mx[][0])~(varc(mx[][0])^0.5)~quantilec(mx[][0],<0.025,0.975>)'~fGeweke(mx[][0],dbm),"\n"); // println( "%r",{"PRIV"}, "%c",{"Mean","Stdev","95%L","95%U","Geweke"}, meanc(mx[][1])~(varc(mx[][1])^0.5)~quantilec(mx[][1],<0.025,0.975>)'~fGeweke(mx[][1],dbm),"\n"); println( "%r",{"SCHOOL"}, "%c",{"Mean","Stdev","95%L","95%U","Geweke"}, meanc(mx[][2])~(varc(mx[][2])^0.5)~quantilec(mx[][2],<0.025,0.975>)'~fGeweke(mx[][2],dbm),"\n"); println( "%r",{"LOGINC"}, "%c",{"Mean","Stdev","95%L","95%U","Geweke"}, meanc(mx[][3])~(varc(mx[][3])^0.5)~quantilec(mx[][3],<0.025,0.975>)'~fGeweke(mx[][3],dbm),"\n"); println( "%r",{"PTCON"}, "%c",{"Mean","Stdev","95%L","95%U","Geweke"}, meanc(mx[][4])~(varc(mx[][4])^0.5)~quantilec(mx[][4],<0.025,0.975>)'~fGeweke(mx[][4],dbm),"\n"); decl n_acf=50; //ACF DrawCorrelogram(0,mx[][0]',{"Const"},n_acf); DrawCorrelogram(1,mx[][1]',{"PRIV"},n_acf); DrawCorrelogram(2,mx[][2]',{"SCHOOL"},n_acf); DrawCorrelogram(3,mx[][3]',{"LOGINC"},n_acf); DrawCorrelogram(4,mx[][4]',{"PTCON"},n_acf); SaveDrawWindow("acf.ps"); CloseDrawWindow(); //Path DrawTMatrix(0,mx[][0]',{"Const"},1,1,1); DrawTMatrix(1,mx[][1]',{"PRIV"},1,1,1); DrawTMatrix(2,mx[][2]',{"SCHOOL"},1,1,1); DrawTMatrix(3,mx[][3]',{"LOGINC"},1,1,1); DrawTMatrix(4,mx[][4]',{"PTCON"},1,1,1); SaveDrawWindow("path.ps"); CloseDrawWindow(); //Posterior density DrawDensity(0,mx[][0]',{"Const"},1,0,0); DrawDensity(1,mx[][1]',{"PRIV"},1,0,0); DrawDensity(2,mx[][2]',{"SCHOOL"},1,0,0); DrawDensity(3,mx[][3]',{"LOGINC"},1,0,0); DrawDensity(4,mx[][4]',{"PTCON"},1,0,0); SaveDrawWindow("density.ps"); CloseDrawWindow(); }