effectiveSize

0th

Percentile

Effective sample size for estimating the mean

Sample size adjusted for autocorrelation.

Keywords
ts
Usage
effectiveSize(x)
Arguments
x
An mcmc or mcmc.list object.
Details

For a time series x of length N, the standard error of the mean is the square root of 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).

Value

  • A vector giving the effective sample size for each column of x.

See Also

spectrum0.ar.

Aliases
  • effectiveSize
Documentation reproduced from package coda, version 0.17-1, License: GPL (>= 2)

Community examples

Looks like there are no examples yet.