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Results tagged with r
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user 26753
Use this tag for any *on-topic* question that (a) involves `R` either as a critical part of the question or expected answer, & (b) is not *just* about how to use `R`.
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Definition of autocorrelation time (for effective sample size)
Using R and the "coda" package:
require(coda)
ts.uncorr <- arima.sim(model=list(),n=10000) # white noise
ts.corr <- arima.sim(model=list(ar=-0.5),n=10000) # AR(1)
effectiveSize(ts.uncorr) … There are some other R packages out there that compute effective sample size or autocorrelation time, and all the ones I've tried give results consistent with this: that an AR(1) process with a negative …
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