effectiveSize(x)
x
.x
of length N
, the standard error of
the mean is var(x)/n
where n
is the effective sample
size. n = N
only when there is no autocorrelation.Estimation of the effective sample size requires estimating the
spectral density at frequency zero. This is done by the function
spectrum0.ar
For a mcmc.list
object, the effective sizes are summed across
chains. To get the size for each chain individually use
lapply(x,effectiveSize)
.
spectrum0.ar
.