Description

Sample size adjusted for autocorrelation.

Usage

Arguments

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.