0001 cd('..');
0002 boot;
0003 cd(cgmm_config.directories.plot);
0004
0005 load(cgmm_config.monte_carlo.pcsv);
0006
0007 all_re_cgmm = zeros(size(cgmm_estimates{1},1)-1,length(time_steps));
0008 all_re_fs = zeros(size(cgmm_estimates{1},1)-1,length(time_steps));
0009
0010 mean_mre_cgmm = zeros(1, length(time_steps));
0011 mean_mre_fs = zeros(1, length(time_steps));
0012 std_mre_cgmm = zeros(1, length(time_steps));
0013 std_mre_fs = zeros(1, length(time_steps));
0014
0015 for k=1:length(time_steps)
0016 theta_fs = first_step_estimates{k};
0017 theta_true = theta_fs(1,:);
0018 theta = theta_fs(2:end,:);
0019
0020 theta_true = repmat(theta_true, size(theta,1) ,1);
0021 re = abs(theta-theta_true) ./ abs(theta_true);
0022 mre = mean(re);
0023 stdre = std(re);
0024
0025 all_re_fs(:,k) = mean(re,2);
0026 mean_mre_fs(k) = mean(mre);
0027 std_mre_fs(k) = std(mre);
0028
0029 kappa_mre_fs(k) = mean(mre(1:2));
0030
0031 theta_mre_fs(k) = mean(mre(3:4));
0032
0033 sigma_mre_fs(k) = mean(mre(5:6));
0034
0035 rho_mre_fs(k) = mean(mre(7:8));
0036
0037 theta_cgmm = cgmm_estimates{k};
0038 theta = theta_cgmm(2:end,:);
0039 re = abs(theta-theta_true) ./ abs(theta_true);
0040 mre = mean(re);
0041 stdre = std(re);
0042
0043 all_re_cgmm(:,k) = mean(re,2);
0044 mean_mre_cgmm(k) = mean(mre);
0045 std_mre_cgmm(k) = std(mre);
0046
0047 kappa_mre_cgmm(k) = mean(mre(1:2));
0048
0049 theta_mre_cgmm(k) = mean(mre(3:4));
0050
0051 sigma_mre_cgmm(k) = mean(mre(5:6));
0052
0053 rho_mre_cgmm(k) = mean(mre(7:8));
0054 end
0055
0056 all_re_cgmm(:,end) = NA;
0057 mean_mre_cgmm(end) = NA;
0058 std_mre_cgmm(end) = NA;
0059
0060 kappa_mre_cgmm(end) = NA;
0061
0062 theta_mre_cgmm(end) = NA;
0063
0064 sigma_mre_cgmm(end) = NA;
0065
0066 rho_mre_cgmm(end) = NA;
0067
0068 subplot(2,1,1);
0069
0070 plot(time_steps, all_re_fs, 'k');
0071 hold on;
0072 plot(time_steps, mean_mre_fs, 'r', 'linewidth', 5);
0073 hold off;
0074 legend('100 independent simulations', 'Mean of all simulations', 'location', 'southwest');
0075 ylabel('mean relative error');
0076 xlabel('number of data points in time series');
0077 title('PCSV CMM mean relative estimation errors');
0078
0079 subplot(2,1,2);
0080 plot(time_steps, std_mre_fs);
0081 ylabel('standard deviation of mean relative error');
0082 xlabel('number of data points in time series');
0083
0084 print(cgmm_config.plots.mre.all('pcsv'), cgmm_config.plots.device)
0085
0086 subplot(2,2,1);
0087 plot(time_steps, kappa_mre_fs);
0088 title('kappa');
0089 subplot(2,2,2);
0090 plot(time_steps, theta_mre_fs);
0091 title('theta');
0092 subplot(2,2,3);
0093 plot(time_steps, sigma_mre_fs);
0094 title('sigma');
0095 subplot(2,2,4);
0096 plot(time_steps, rho_mre_fs);
0097 title('rho');
0098
0099 print(cgmm_config.plots.mre.individual('pcsv'), cgmm_config.plots.device)