Extract parameter estimates and their covariance matrix

Usage

# S3 method for class 'stochvolTMB'
coef(object, scale = c("natural", "estimation"), ...)

# S3 method for class 'stochvolTMB'
vcov(object, scale = c("natural", "estimation"), ...)

Arguments

object: A stochvolTMB object.
scale: "natural" (default) returns the parameters on their natural scale, for example sigma_y, phi and rho. Their covariance matrix comes from the delta method. "estimation" returns the parameters on the scale they were estimated, for example log_sigma_y and logit_phi, with the inverse Hessian as covariance matrix.
...: Not used.

Value

coef returns a named vector. vcov returns a named matrix.

Examples

# \donttest{
opt <- estimate_parameters(spy$log_return, model = "leverage", silent = TRUE)
coef(opt)
#>      sigma_y      sigma_h          phi          rho 
#>  0.008338412  0.273443559  0.967721215 -0.748695259 
sqrt(diag(vcov(opt)))
#>      sigma_y      sigma_h          phi          rho 
#> 0.0004163314 0.0182641070 0.0043681868 0.0322487815 
coef(opt, scale = "estimation")
#> log_sigma_y log_sigma_h   logit_phi   logit_rho 
#>   -4.786882   -1.296660    4.110221   -1.939959 
# }