A Comparison of Methods for Computing Autocorrelation Time

Details A Comparison of Methods for Computing Autocorrelation Time A Comparison of Methods for Computing Autocorrelation Time

2010-10-31

arxiv.org/abs/1011.0175v1

Statistics

Computation

Scientific paper

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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