numEff {bayesm}R Documentation

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

x R x 1 vector of draws
m number of lags for autocorrelations

Details

default for number of lags is chosen so that if R = 5000, m =100 and increases as the sqrt(R).

Value

stderr standard error of the mean of x
f variance ratio (relative numerical efficiency)

Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

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.html

Examples

 numEff(rnorm(1000),m=20)
 numEff(rnorm(1000))

[Package bayesm version 1.1-1 Index]