Smoothed_state_uncertainty command

Estimation
1

Just a few quick question about this command. It stores results in oo_.Smoother.State_uncertainty within following objects:

  • mean and median
  • HPDinf and HPDsup
  • var

Mean would then be a mean of covariance matrix across parameter draws, right? What exactely is var matrix?

Finally, any intake on which measure of uncertainty to take as relevant: mean or HPDsup?

Thank you in advance.

2
  1. The mean-field should be the mean across parameter draws for the covariance matrix, while the var-field is the variance across the draws.
  2. Most of the times you will care about the average state uncertainty. But somethimes you may care about the upper bound of the uncertainty (min-max loss)