Add variance(<matrix>) method that gives diag(cov(<matrix>))

stan-dev/posterior#219
mitchelloharawild · Jan 4, 2022 · 8a7aa72 · 8a7aa72
1 parent 96b706e
commit 8a7aa72
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diff --git a/NAMESPACE b/NAMESPACE
@@ -413,6 +413,7 @@ S3method(support,distribution)
 S3method(variance,default)
 S3method(variance,dist_default)
 S3method(variance,distribution)
+S3method(variance,matrix)
 S3method(variance,numeric)
 S3method(vec_arith,distribution)
 S3method(vec_arith,hilo)

diff --git a/R/distribution.R b/R/distribution.R
@@ -315,6 +315,11 @@ variance.default <- function(x, ...){
 variance.numeric <- function(x, ...){
   stats::var(as.vector(x), ...)
 }
+#' @rdname variance
+#' @export
+variance.matrix <- function(x, ...){
+  diag(stats::cov(x, ...))
+}
 
 #' Variance of a probability distribution
 #'

diff --git a/man/variance.Rd b/man/variance.Rd