plot_acf: Autocorrelation plot of Gibbs samples

In loelschlaeger/RprobitB: Bayesian Probit Choice Modeling

Autocorrelation plot of Gibbs samples

Description

This function plots the autocorrelation of the Gibbs samples. The plots include the total Gibbs sample size TSS and the effective sample size ESS, see the details.

Usage

plot_acf(gibbs_samples, par_labels)

Arguments

gibbs_samples	A matrix of Gibbs samples.
par_labels	A character vector with labels for the Gibbs samples, of length equal to the number of columns of gibbs_samples.

Details

The effective sample size is the value

TSS / \sqrt{1 + 2\sum_{k\geq 1} \rho_k}

, where \rho_k is the auto correlation between the chain offset by k positions. The auto correlations are estimated via spec.ar.

Value

No return value. Draws a plot to the current device.

loelschlaeger/RprobitB documentation built on Oct. 15, 2024, 11:08 a.m.