computeacf: Computes The ACF and Integrated AC Time

In hadron: Analysis Framework for Monte Carlo Simulation Data in Physics

Computes The ACF and Integrated AC Time

Description

Computes the ACF and integrated autocorrelation time of a time series. It also estimates the corresponding standard errors.

Usage

computeacf(tseries, W.max, Lambda = 100)

Arguments

tseries	the time series.
W.max	maximal time lag to be used.
Lambda	cut-off needed to estimate the standard error of the ACF.

Details

The standard error of the ACF is computed using equation (E.11) of M. Luescher, hep-lat/0409106. The error of the integrated autocorrelation time using the Madras Sokal formula, see also hep-lat/0409106.

Value

It returns a list of class hadronacf with members

lags	time lags of the integrated autocorrelation function
Gamma	normalised autocorrelation function
dGamma	error of normalised autocorrelation function
W.max	max time lag used for the call of acf
W	the cut-off up to which the ACF is integrated for the integrated autocorrelation time
tdata	the original time series
tau	the estimated integrated autocorrelation time
dtau	the estimated error of the integrated autocorrelation time

Author(s)

Carsten Urbach, [e-mail]

References

'Monte Carlo errors with less errors', Ulli Wolff, http://arxiv.org/abs/hep-lat/0306017hep-lat/0306017

'Schwarz-preconditioned HMC algorithm for two-flavour lattice QCD', Martin Luescher, http://arxiv.org/abs/hep-lat/0409106hep-lat/0409106

N. Madras, A. D. Sokal, J. Stat. Phys. 50 (1988) 109

See Also

uwerr, acf bootstrap.analysis

Examples

data(plaq.sample)
myacf <- computeacf(plaq.sample, 300)
plot(myacf)
summary(myacf)

hadron documentation built on Sept. 9, 2022, 5:06 p.m.