IAT {coffee}

calculate the Integrated Autocorrelation Time

Description

Calculate the Tntegrated Autocorrelation Time, which gives the proposed value for thinning. E.g., if the IAT is 80, it is good to thin the MCMC run by storing only every 80 iterations. This method is slower than GetAutoCov, but much better.

Usage

IAT(set, par = 0, from = 1, to)

Arguments

set

This option reads the 'info' variable, which contains the data and the model output.

par

The parameter to test. Defaults to 0.

from

The first of the iterations of the MCMC run to check. Defaults to the first one.

to

The last of the iterations of the MCMC run to check. Defaults to the last one.

Value

The IAT value

Author(s)

Andres Christen