Dear Prof Pfeifer，
Recently, I am studying your particle filter. In file evaluate_prior_AR1.m, there different prior distributions (beta, gamma, uniform) of parameters are considered.
Now, I have the following question:
(1) In the Uniform distribution, there is equation “priorval=priorval-log(7)”. Why we should include the term “log(7)”？ What does it mean ?
(2) If the prior distribution is Normal(-5.3,0.4) or truncated Normal disribution (0.5,0.3) . How should the evaluate_prior_AR1.m be modified?
All the Best
- The density of a uniform distribution on [a,b] is 1/(a-b). So log density is -\log(a-b). We assumed a uniform on [-7,0] if I remember correctly, giving you the mentioned value.
- It should be something like
%parameter ~ N(mu,sigma) with truncation at truncation_lower_bound and truncation_upper_bound
if par(ii)>=truncation_lower_bound && par(ii)<truncation_upper_bound
where you need to fill in the respective parameter values.
Thanks for your reply.
1 In the file evaluate_prior_AR1.m, the prior distribution is assumed to follow Uniform(-11,-3).
%sigma_bar ~ U(-11,-3)
if par(ii)>=(-11) && par(ii)<-3
Maybe, the result is -log(-8)?
I noticed the discrepancy as well and fixed the mistake online.