updateCovmat: Update covariance matrix

In sbfnk/fitR: Tool box for fitting dynamic infectious disease models to time series

Update covariance matrix

Description

Update covariance matrix using a stable one-pass algorithm. This is much more efficient than using cov on the full data.

Usage

updateCovmat(covmat, thetaMean, theta, i)

Arguments

covmat	covariance matrix at iteration i-1. Must be numeric, symmetrical and named.
thetaMean	mean vector at iteration i-1. Must be numeric and named.
theta	vector of new value at iteration i. Must be numeric and named.
i	current iteration.

Value

A list of two elements

• covmat update covariance matrix

• thetaMean updated mean vector

References

http://en.wikipedia.org/wiki/Algorithms%5Ffor%5Fcalculating%5Fvariance#Covariance # nolint

sbfnk/fitR documentation built on July 18, 2023, 3:28 p.m.