Confidence regions (ellipses) for Monte Carlo estimates
Constructs confidence regions (ellipses) from the Markov chain output for the features of interest. Function uses the ellipse package.
confRegion(mcse.obj, which = c(1,2), level = .95)
mcse.obj |
the list returned by the |
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 |
Returns a matrix of x and y coordinates for the ellipse. Use plot function on the matrix to plot the ellipse
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, blather = TRUE) ## Plotting the ellipse plot(confRegion(mcerror), type = 'l')
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