factorstochvol (version 1.1.0)

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")

Value

Matrix containing the requested covariance 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(), runningcormat()

Examples

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