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Use CovarianceEstimation.jl #26

Merged
merged 5 commits into from
May 7, 2021
Merged

Use CovarianceEstimation.jl #26

merged 5 commits into from
May 7, 2021

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FriesischScott
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Using the package enables us to always estimate invertible covariance
matrices for the proposal distribution during the MCMC step.

I also extracted the bisection method estimating beta and the weights to
clean up the code.

@codecov-commenter
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codecov-commenter commented Apr 27, 2021

Codecov Report

Merging #26 (68e601c) into main (b43348e) will decrease coverage by 1.16%.
The diff coverage is 95.23%.

Impacted file tree graph

@@             Coverage Diff             @@
##              main      #26      +/-   ##
===========================================
- Coverage   100.00%   98.83%   -1.17%     
===========================================
  Files            3        3              
  Lines           93       86       -7     
===========================================
- Hits            93       85       -8     
- Misses           0        1       +1     
Impacted Files Coverage Δ
src/TransitionalMCMC.jl 100.00% <ø> (ø)
src/mcmc.jl 100.00% <ø> (ø)
src/tmcmc.jl 97.87% <95.23%> (-2.13%) ⬇️

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@AnderGray
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Thanks for these changes, certainly an improvement and cleans up the code well.

Any idea how this new way of computing the covariance matrix compares to the previous way?

Using the package enables us to always estimate invertible covariance
matrices for the proposal distribution during the MCMC step.

I also extracted the bisection method estimating beta and the weights to
clean up the code.
@FriesischScott FriesischScott force-pushed the covariance-estimation branch from 02ec733 to f90046d Compare May 2, 2021 17:07
@FriesischScott FriesischScott requested a review from AnderGray May 7, 2021 10:05
@FriesischScott FriesischScott marked this pull request as ready for review May 7, 2021 10:05
@AnderGray
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Looking good!

@AnderGray AnderGray merged commit 2f94605 into main May 7, 2021
@AnderGray AnderGray deleted the covariance-estimation branch May 7, 2021 10:17
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3 participants