cormat.fsvsim: Extract "true" model-implied correlation matrix for several...

In factorstochvol: Bayesian Estimation of (Sparse) Latent Factor Stochastic Volatility Models

Extract "true" model-implied correlation matrix for several points in time

Description

cormat extracts the model-implied (time-varying) covariance matrix from an fsvsim object.

Usage

## S3 method for class 'fsvsim'
cormat(x, timepoints = "all", ...)

Arguments

x	Object of class 'fsvsim', usually resulting from a call of the function fsvsim.
timepoints	Vector indicating at which point(s) in time the correlation matrices should be extracted. Can also be "all" or "last".
...	Ignored.

Value

Array of dimension m times m times length(timepoints), containing the model-implied correlation matrix.

Note

Currently crudely implemented as an R loop over all time points, may be slow.

See Also

Other simulation: corelement(), covelement(), covmat.fsvsim()

factorstochvol documentation built on Nov. 24, 2023, 5:08 p.m.