covmat function

Estimate a covariance matrix from algorithm traces

A helper function to extract a covariance matrix.

## S4 method for signature 'pmcmcd_pomp'
covmat(object, start = 1, thin = 1, expand = 2.38, ...)

## S4 method for signature 'pmcmcList'
covmat(object, start = 1, thin = 1, expand = 2.38, ...)

## S4 method for signature 'abcd_pomp'
covmat(object, start = 1, thin = 1, expand = 2.38, ...)

## S4 method for signature 'abcList'
covmat(object, start = 1, thin = 1, expand = 2.38, ...)

## S4 method for signature 'probed_pomp'
covmat(object, ...)

Arguments

• object: an object extending pomp
• start: the first iteration number to be used in estimating the covariance matrix. Setting thin > 1 allows for a burn-in period.
• thin: factor by which the chains are to be thinned
• expand: the expansion factor
• ...: ignored

Returns

When object is the result of a pmcmc or abc computation, covmat(object) gives the covariance matrix of the chains. This can be useful, for example, in tuning the proposal distribution.

When object is a probed_pomp object (i.e., the result of a probe computation), covmat(object) returns the covariance matrix of the probes, as applied to simulated data.

See Also

MCMC proposals .

Other extraction methods: coef(), cond_logLik(), eff_sample_size(), filter_mean(), filter_traj(), forecast(), logLik, obs(), pred_mean(), pred_var(), saved_states(), spy(), states(), summary(), time(), timezero(), traces()