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.
