asympvar {geoRglm} | R Documentation |
Calculates the initial monotone/positive sequence estimate of the asymptotic variance from CLT (Geyer 92). Useful for estimation of the variance of a Markov Chain Monte Carlo estimate.
asympvar(timeseries, type="mon", lag.max = 100, messages)
timeseries |
a vector with a timeseries, or a matrix where the rows are different timeseries. |
type |
"pos" and "mon" gives the monotone and the positive sequence estimator, respectively, and
"all" gives both. Default is type="mon" . |
lag.max |
maximum lag at which to calculate the asymptotic
variance. Default is lag.max = 100 . |
messages |
logical. If TRUE , the default, status messages
are printed while the function is running. |
A number (or a vector) with the estimate, when type="mon"
or type="pos"
. A list with components
mon
and pos
when type="all"
The orginal Splus version of this function was written by Rasmus
Waagepetersen. R port by
Ole F. Christensen OleF.Christensen@agrsci.dk,
Paulo J. Ribeiro Jr. Paulo.Ribeiro@est.ufpr.br.
Geyer, C. (1992). Practical Monte Carlo (with discussion). Statist. Sci. 7, 473-511.
Further information about geoRglm can be found at:
http://www.daimi.au.dk/~olefc/geoRglm.
data(p50) ## Not run: test <- pois.krige(p50, krige = krige.glm.control(cov.pars = c(1,1), beta = 1), mcmc.input = mcmc.control(S.scale = 0.5, n.iter = 1000, thin = 1)) asympvar(test$intensity[45,]) ass <- asympvar(test$intensity[1:10,], type = "pos") ## End(Not run)