factorstochvol (version 0.8.1)

runningcovmat: Extract summary statistics for the posterior covariance matrix which have been stored during sampling

Description

runningcovmat extracts summary statistics from the model-implied covariance matrix from an fsvdraws object for one point in time.

Usage

runningcovmat(x, i, statistic = "mean", type = "cov")

Arguments

x

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

i

A single point in time.

statistic

Indicates which statistic should be extracted. Defaults to 'mean'.

type

Indicates whether covariance (cov) or correlation (cor) should be extracted.

Value

Matrix containing the requested covariance matrix summary statistic.

See Also

Other extractors: covmat.fsvdraws, runningcormat

Examples

## Not run: 
# set.seed(1)
# sim <- fsvsim(n = 500, series = 3, factors = 1) # simulate 
# res <- fsvsample(sim$y, factors = 1, runningstore = 6) # estimate
# 
# cov100mean <- runningcovmat(res, 100) # extract mean at t = 100
# cov100sd <- runningcovmat(res, 100, statistic = "sd") # extract sd
# lower <- cov100mean - 2*cov100sd
# upper <- cov100mean + 2*cov100sd
# 
# true <- covmat(sim, 100) # true value
# 
# # Visualize mean +/- 2sd and data generating values
# par(mfrow = c(3,3), mar = c(2, 2, 2, 2))
# for (i in 1:3) {
#  for (j in 1:3) {
#   plot(cov100mean[i,j], ylim = range(lower, upper), pch = 3,
#   main = paste(i, j, sep = ' vs. '), xlab = '', ylab = '')
#   lines(c(1,1), c(lower[i,j], upper[i,j]))
#   points(true[i,j,1], col = 3, cex = 2)
#  }
# }
# ## End(Not run)