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Changeset 178

Timestamp:

05/12/08 21:29:10 (8 months ago)

Author:

edsuom

Message:

Rewrote zProposal to use truncated normal

Files:

r177	r178
97	97	double ncdf(double x)
98	98	{
99		double ax, t, sum;
	99	double ax, t, tp, sum;
100	100	// The cdf is computed from the absolute value of x and corrected at the end
101	101	// if necessary
…	…
104	104	t = 1.0 / (1.0 + 0.2316419*ax);
105	105	// Efficiently compute the series summation
106		sum = t * +0.31938; // t
107		sum += (t = t) -0.35656; // t^2
108		sum += (t = t) +1.78148; // t^3
109		sum += (t = t) -1.82125; // t^4
110		sum += (t = t) +1.33027; // t^5
	106	tp = t;
	107	sum = tp * 0.31938; // t
	108	tp *= t;
	109	sum -= tp * 0.35656; // t^2
	110	tp *= t;
	111	sum += tp * 1.78148; // t^3
	112	tp *= t;
	113	sum -= tp * 1.82125; // t^4
	114	tp *= t;
	115	sum += tp * 1.33027; // t^5
111	116	// Compute the cdf, assuming x to be positive
112		sum *= ~~(1.0 - npdf(ax)~~);
	117	sum *= npdf(ax);
113	118	// Correct if x < 0
114		if(x < 0)
	119	if(x > 0)
115	120	sum = 1 - sum;
116	121	// All done

r177	r178
179	179	@ivar Mv: Number of volatility draws per likelihood evaluation.
180	180
181		~~@ivar Mz: Number of random-walk normal draws per volatility draw.~~
182
183	181	"""
184	182	_logU_index = -1
185	183
186		keyAttrs = {'y':None, 'Mv':~~40, 'Mz':30~~}
	184	keyAttrs = {'y':None, 'Mv':1}
187	185
188	186	#--- Properties -----------------------------------------------------------
…	…
267	265	"""
268	266	z = z.copy()
269		L = self.inline('z', '~~M', 'wiggle', M=self.Mz~~)
	267	L = self.inline('z', 'wiggle')
270	268	return z, L
271	269

r176	r178
141	141	"""
142	142	chunkSize = 500
143		initialSigma = 0.5
	143	initialSigma = 0.3
144	144
145	145	def __init__(self, projectManager, socket=None):
…	…
200	200	if s.isfinite(paramContainer.Lx):
201	201	L = paramContainer.Lx + paramContainer.Lp \
202		- paramContainer.Lj #- paramContainer.Lh
	202	- paramContainer.Lj - paramContainer.Lh
203	203	info = " ".join([
204	204	"%+12.2f" % (getattr(paramContainer, x),)