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I heard and read several times of the use of 'binning' methods to estimate the uncertainty and the auto-correlation time of a sample generated by MCMC but I can't find a textbook example of it being explained and applied.

Could anyone share it with me?

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Of possible interest:

http://www.hep.fsu.edu/~berg/teach/mcmc08/material/lecture07mcmc3.pdf

This lecture notes are based on the textbook:

http://www.amazon.co.uk/Markov-chain-simulations-statistical-analysis/dp/9812389350

The method is explained in Section 1.8.3.

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