numEff: Compute Numerical Standard Error and Relative Numerical Efficiency
Description
numEff
computes the numerical standard error for the mean of a vector of draws as well as the relative
numerical efficiency (ratio of variance of mean of this time series process relative to iid sequence).Usage
numEff(x, m = as.integer(min(length(x), (100/sqrt(5000)) * sqrt(length(x)))))
Arguments
m
number of lags for autocorrelations
Value
- stderrstandard error of the mean of x
- fvariance ratio (relative numerical efficiency)
concept
numerical efficiencyWarning
This routine is a utility routine that does not check the
input arguments for proper dimensions and type.Details
default for number of lags is chosen so that if R = 5000, m =100 and increases as the sqrt(R).References
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.htmlExamples
Run this codenumEff(rnorm(1000),m=20)
numEff(rnorm(1000))
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