autocorr.diag

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Autocorrelation function for Markov chains

autocorr.diag calculates the autocorrelation function for the Markov chain mcmc.obj at the lags given by lags. The lag values are taken to be relative to the thinning interval if relative=TRUE. Unlike autocorr, if mcmc.obj has many parmeters it only computes the autocorrelations with itself and not the cross correlations. In cases where autocorr would return a matrix, this function returns the diagonal of the matrix. Hence it is more useful for chains with many parameters, but may not be as helpful at spotting parameters.

If mcmc.obj is of class mcmc.list then the returned vector is the average autocorrelation across all chains.

Keywords
ts
Usage
autocorr.diag(mcmc.obj, ...)
Arguments
mcmc.obj
an object of class mcmc or mcmc.list
...
optional arguments to be passed to autocorr
Value

  • A vector containing the autocorrelations.

See Also

autocorr, acf, autocorr.plot.

Aliases
  • autocorr.diag
  • autocorr.diag.mcmc
  • autocorr.diag.mcmc.list
Documentation reproduced from package coda, version 0.17-1, License: GPL (>= 2)

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