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Fix saving of posterior standard deviations #1013

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JohannesPfeifer opened this issue Aug 5, 2015 · 3 comments

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@JohannesPfeifer
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commented Aug 5, 2015

See also http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=7130
When running the MCMC, the oo_.posterior_std and oo_.posterior_mode fields are based on the posterior mode, not the MCMC. But the manual says they should only be there if mh_replic>0 but we always write them.
In contrast, oo_.posterior_variance is based on the MCMC. However, this field is not documented in the manual at all.

It is also confusing that the MCMC writes only a variance and ML/mode-finder only a standard deviation.

We must decide on a consistent treatment and fix the manual accordingly.
My proposal is: We change the current oo_.posterior_std to oo_.posterior_std_at_mode to make the meaning explicit and let the MCMC now also write oo_.posterior_std. This would be closest to what the manual states as all fields then would have the intended meaning while only adding additional fields. If need be, this would also allow going back to the 4.4 "convention" using the convert_dyn_45_to_44 utility.

@houtanb houtanb added the bug label Aug 6, 2015

@houtanb houtanb added this to the 4.5 milestone Aug 6, 2015

@MichelJuillard

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commented Aug 6, 2015

Maybe, we should have a first level of name that makes clear the algorithm used for the computation (optimization, MCMC).

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commented Aug 6, 2015

@MichelJuillard I am not entirely convinced of adding another layer. We already have fields like
oo_.posterior_hpdsup.measurement_errors_corr.gdp_conso. It would also change the storage of all posterior moments. I can also do that, but is seems to be a bit of an overkill.

The only ambiguous field seems to be oo_.posterior_std. Thus, I would prefer to just rename it and leave the other fields untouched.

But I can also do your suggestion.

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commented Aug 7, 2015

Let's do it your way. We can re-organize later

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