EstimateESS: EstimateESS

In RZigZag: Zig-Zag Sampler

Description

Estimates the effective sample size (ESS) of a piecewise deterministic skeleton

Usage

EstimateESS(skeletonList, n_batches = 100L, coordinate = -1L,
  zeroMeans = FALSE)

Arguments

skeletonList	a piecewise deterministic skeleton (consisting of Times, Points and Velocities) returned by a sampler
n_batches	optional argument indicating the number of batches to use in the batch means estimation method
coordinate	if specified, only estimate the ESS of the specified coordinate, otherwise estimate the ESS of all coordinates
zeroMeans	if TRUE do not estimate means but assume a centered distribution

Value

Returns a list containing the estimated asymptotic variance, ESS and estimated covariance matrix

RZigZag documentation built on July 20, 2019, 9:03 a.m.