inst/examples/updatesummary.R

In gregorkastner/stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

## Here is a baby-example to illustrate the idea.
## Simulate an SV time series of length 51 with default parameters:
sim <- svsim(51)

## Draw from the posterior:
res <- svsample(sim$y, draws = 2000, priorphi = c(10, 1.5))

## Check out the results:
summary(res)
plot(res)

## Look at other quantiles and calculate ESS of latents:
newquants <- c(0.01, 0.05, 0.25, 0.5, 0.75, 0.95, 0.99)
res <- updatesummary(res, quantiles = newquants, esslatent = TRUE)

## See the difference?
summary(res)
plot(res)