A Comparison of Methods for Computing Autocorrelation Time

2010/10/31 by Madeleine B. Thompson, Thompson, Madeleine B. · 1 citation
Mathematics · #Computation (stat.CO) #FOS: Computer and information sciences #G.3 #stat.CO

paper · pdf · doi:10.48550/arxiv.1011.0175

arxiv created 2010/10/31 · arxiv updated 2010/11/02

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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