mcmcse (version 1.3-2)

confRegion: Confidence regions (ellipses) for Monte Carlo estimates

Description

Constructs confidence regions (ellipses) from the Markov chain output for the features of interest. Function uses the ellipse package.

Usage

confRegion(mcse.obj, which = c(1,2), level = .95)

Arguments

mcse.obj

the list returned by the mcse.multi or mcse.initseq command

which

integer vector of length 2 indicating the component for which to make the confidence ellipse. Chooses the first two by default.

level

confidence level for the ellipse

Details

Returns a matrix of x and y coordinates for the ellipse. Use plot function on the matrix to plot the ellipse

Examples

# NOT RUN {
library(mAr)
p <- 3
n <- 1e3
omega <- 5*diag(1,p)

## Making correlation matrix var(1) model
set.seed(100)
foo <- matrix(rnorm(p^2), nrow = p)
foo <- foo %*% t(foo)
phi <- foo / (max(eigen(foo)$values) + 1)
  
out <- as.matrix(mAr.sim(rep(0,p), phi, omega, N = n))
mcerror <- mcse.multi(out)

## Plotting the ellipse
plot(confRegion(mcerror), type = 'l')
# }