nse.geyer: Geyer estimator

In keblu/nse: Numerical Standard Errors Computation in R

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)

keblu/nse documentation built on Nov. 16, 2022, 2:18 p.m.