numEff {bayesm} | R Documentation |
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).
numEff(x, m = as.integer(min(length(x), (100/sqrt(5000)) * sqrt(length(x)))))
x |
R x 1 vector of draws |
m |
number of lags for autocorrelations |
default for number of lags is chosen so that if R = 5000, m =100 and increases as the sqrt(R).
stderr |
standard error of the mean of x |
f |
variance ratio (relative numerical efficiency) |
This routine is a utility routine that does not check the input arguments for proper dimensions and type.
Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.
For further discussion, see Bayesian Statistics and Marketing
by Allenby, McCulloch, and Rossi, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html
numEff(rnorm(1000),m=20) numEff(rnorm(1000))