[R] Bootstrapping a covariance matrix
meddee
meddee1000 at gmail.com
Sun Sep 4 00:34:46 CEST 2011
Dear all I am a bit new to R so please keep your swords sheathed!
I would simply like to bootstrap a covariance matrix from a multivariate
gaussian density. At face value that seemed like a very straightforward
problem to solve but I somehow could not get the boot package to work and
did not really understand the documentation so I tried to do the bootstrap
manually. Hence:
x<-rmvnorm(n = 5, mean, diag(1,length(mean)))
Var<-function(a) var(a)
Var(x)
sample<-matrix(sample(x,replace=T),ncol=length(mean))#single BS sample
Var(sample)# sqr matrix of length(mean)
#generate 1000 bootstrap samples
boot <- array(NA, c(1000, 3, 3))
#assign the var for bootstrap sample i as the ith element in the vector
boot, using a for loop
for (i in 1:1000) boot[i,,] <- Var(sample)
mean(boot)
For output I expect to see a 3x3 covariance matrix but i am getting a single
scalar value.
So can some person(s) do either (or all) of the following:
- point out how I can get the intended result from the above code
- point out how the boot function can be used to to solve this problem
- point me to further documentation for the boot function
p.s: rmvnorm is from the mvtnorm package.
Thanks in advance!
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