factorstochvol (version 0.8.1)

predcov: Predicts covariance matrix

Description

predcov simulates from the posterior predictive distribution of the model-implied covariance matrix.

Usage

predcov(x, ahead = 1, each = 1)

Arguments

x

Object of class 'fsvdraws', usually resulting from a call to fsvsample.

ahead

Vector of timepoints, indicating how many steps to predict ahead.

each

Single integer (or coercible to such) indicating how often should be drawn from the posterior predictive distribution for each draw that has been stored during MCMC sampling.

Value

4-dimensional array containing draws from the predictive covariance distribution.

See Also

Other predictors: predcond, predcor, predh, predloglikWB, predloglik, predprecision

Examples

## Not run: 
# set.seed(1)
# sim <- fsvsim(series = 3, factors = 1) # simulate 
# res <- fsvsample(sim$y, factors = 1) # estimate
# 
# # Predict 1, 10, and 100 days ahead:
# predobj <- predcov(res, ahead = c(1, 10, 100))
# 
# # Trace plot of draws from posterior predictive distribution
# # of the covariance of Sim1 and Sim2:
# # (one, ten, and 100 days ahead):
# plot.ts(predobj[1,2,,])
# 
# # Smoothed kernel density estimates of predicted covariance
# # of Sim1 and Sim2:
# plot(density(predobj[1,2,,"1"], adjust = 2))
# lines(density(predobj[1,2,,"10"], adjust = 2), col = 2)
# lines(density(predobj[1,2,,"100"], adjust = 2), col = 3)
# ## End(Not run)