EstimateCovarianceMatrix {RZigZag}

EstimateCovarianceMatrix

Description

Estimates the covariance matrix of a piecewise deterministic skeleton

Usage

EstimateCovarianceMatrix(skeletonList, coordinate = -1L,
  zeroMeans = FALSE)

Arguments

skeletonList

a piecewise deterministic skeleton (consisting of Times, Points and Velocities) returned by a sampler

coordinate

if specified, only estimate the variance of the specified coordinate, otherwise estimate the covariance matrix of all coordinates

zeroMeans

if TRUE do not estimate means but assume a centered distribution

Value

Returns a list containing the estimated moment