# nse.geyer: Geyer estimator In nse: Numerical Standard Errors Computation in R

 nse.geyer R Documentation

## Geyer estimator

### Description

Function which calculates the numerical standard error with the method of Geyer (1992).

### Usage

nse.geyer(
x,
type = c("iseq", "bm", "obm", "iseq.bm"),
nbatch = 30,
iseq.type = c("pos", "dec", "con")
)

### Arguments

 x A numeric vector. type The type which can be either "iseq", "bm", "obm" or "iseq.bm". See *Details*. Default is type = "iseq". nbatch Number of batches when type = "bm" and type = "iseq.bm". Default is nbatch = 30. iseq.type Constraints on function: "pos" for nonnegative, "dec" for nonnegative and nonincreasing, and "con" for nonnegative, nonincreasing, and convex. Default is iseq.type = "pos".

### Details

The type "iseq" gives the positive intial sequence estimator, "bm" is the batch mean estimator, "obm" is the overlapping batch mean estimator and "iseq.bm" is a combination of "iseq" and "bm".

### Value

The NSE estimator.

### Note

nse.geyer relies on the packages mcmc and mcmcse; see the documentation of these packages for more details.

### Author(s)

David Ardia and Keven Bluteau

### References

Geyer, C.J. (1992). Practical Markov chain Monte Carlo. Statistical Science 7(4), .473-483.

### Examples

## Not run:
n    = 1000
ar   = 0.9
mean = 1
sd   = 1
set.seed(1234)
x = c(arima.sim(n = n, list(ar = ar), sd = sd) + mean)
nse.geyer(x = x, type = "bm", nbatch = 30)
nse.geyer(x = x, type = "obm", nbatch = 30)
nse.geyer(x = x, type = "iseq", iseq.type = "pos")
nse.geyer(x = x, type = "iseq.bm", iseq.type = "con")

## End(Not run)

nse documentation built on Nov. 10, 2022, 5:52 p.m.