Autocorrelation function for Markov chains

Usage

autocorr(mcmc.obj, lags = c(1, 5, 10, 50) * thin(x)

Description

autocorr calculates the autocorrelation function for the Markov chain mcmc.obj at the lags given by lags. The lag values are absolute, not relative to the thinning interval, so they should be a multiple of thin(x).

High autocorrelations within chains indicate slow mixing and, usually, slow convergence. It may be useful to thin out a chain with high autocorrelations before calculating summary statistics: a thinned chain may contain most of the information, but take up less space in memory. Re-running the MCMC sampler with a different parameterization may help to reduce autocorrelation.

Value

A matrix or array containing the autocorrelations.

Author(s)

Martyn Plummer

See Also

acf, autocorr.plot


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