weightedVariance {serrsBayes}

Compute the weighted variance of the particles.

Description

This SMC estimate of the variance can be used to scale the bandwidth of adaptive, Gaussian random walk Metropolis-Hastings proposals.

Usage

weightedVariance(particles, log_weights, mean)

Arguments

particles

npeaks * npart Matrix of parameter values for each particle.

log_weights

logarithms of the importance weights of each particle.

mean

Vector of weighted means of each particle.

Value

A vector of variances, one for each row.

See Also

wtd.var