confRegion {mcmcse}

Confidence regions (ellipses) for Monte Carlo estimates

Description

Constructs confidence regions (ellipses) from the Markov chain output for the features of interest Function uses the ellipse package.

Usage

confRegion(mcse.obj, which = c(1,2), level = .95)

Arguments

mcse.obj

The list returned by the mcse.multi or mcse.initseq command, or an mcmcse class object.

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.

Value

Returns a matrix of x and y coordinates for the ellipse. Use plot function on the matrix to plot the ellipse.

Examples

## Bivariate Normal with mean (mu1, mu2) and covariance sigma
n <- 1e3
mu <- c(2, 50)
sigma <- matrix(c(1, 0.5, 0.5, 1), nrow = 2)

out <- BVN_Gibbs(n, mu, sigma)

mcerror <- mcse.multi(out, blather = TRUE)

## Plotting the ellipse
plot(confRegion(mcerror), type = 'l')