Description Usage Arguments Details Value Warning Author(s) References Examples
numEff
computes the numerical standard error for the mean of a vector of draws as well as the relative numerical efficiency (ratio of variance of mean of this time series process relative to iid sequence).
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x |
R x 1 vector of draws |
m |
number of lags for autocorrelations |
default for number of lags is chosen so that if R=5000, m=100 and increases as the sqrt(R).
A list containing:
stderr |
standard error of the mean of x |
f |
variance ratio (relative numerical efficiency) |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Anderson School, UCLA, [email protected].
For further discussion, see Chapter 3, Bayesian Statistics and Marketing by Rossi, Allenby, and McCulloch.
http://www.perossi.org/home/bsm-1
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