A Comparison of Methods for Computing Autocorrelation Time

Published 31 Oct 2010 in stat.CO | (1011.0175v1)

Abstract: This paper describes four methods for estimating autocorrelation time and evaluates these methods with a test set of seven series. Fitting an autoregressive process appears to be the most accurate method of the four. An R package is provided for extending the comparison to more methods and test series.

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Madeleine B. Thompson

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