iact: Integrated Autocorrelation Time

In bssm: Bayesian Inference of Non-Linear and Non-Gaussian State Space Models

Integrated Autocorrelation Time

Description

Estimates the integrated autocorrelation time (IACT) based on Sokal (1997). Note that the estimator is not particularly good for very short series x (say < 100), but that is not very practical for MCMC applications anyway.

Usage

iact(x)

Arguments

x	A numeric vector.

Value

A single numeric value of IACT estimate.

References

Sokal A. (1997) Monte Carlo Methods in Statistical Mechanics: Foundations and New Algorithms. In: DeWitt-Morette C., Cartier P., Folacci A. (eds) Functional Integration. NATO ASI Series (Series B: Physics), vol 361. Springer, Boston, MA. https://doi.org/10.1007/978-1-4899-0319-8_6

Examples

set.seed(1)
n <- 1000
x <- numeric(n)
phi <- 0.8
for(t in 2:n) x[t] <- phi * x[t-1] + rnorm(1)
iact(x)

bssm documentation built on Nov. 2, 2023, 6:25 p.m.