factorstochvol (version 1.1.0)

runningcormat: Extract summary statistics for the posterior correlation matrix which have been stored during sampling

Description

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

Usage

runningcormat(x, i, statistic = "mean", type = "cor")

Value

Matrix containing the requested correlation matrix summary statistic.

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.

See Also

Other extractors: cormat.fsvdraws(), covmat.fsvdraws(), runningcovmat()

Examples

# \donttest{
set.seed(1)
sim <- fsvsim(n = 500, series = 3, factors = 1) # simulate
res <- fsvsample(sim$y, factors = 1, runningstore = 6) # estimate

cor100mean <- runningcormat(res, 100) # extract mean at t = 100
cor100sd <- runningcormat(res, 100, statistic = "sd") # extract sd
lower <- cor100mean - 2*cor100sd
upper <- cor100mean + 2*cor100sd

true <- cormat(sim, 100)[,,1] # 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(cor100mean[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], col = 3, cex = 2)
 }
}
# }