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.
Description
A Comparison of Methods for Computing Autocorrelation Time
%0 Generic
%1 thompson2010comparison
%A Thompson, Madeleine B.
%D 2010
%K statistics
%T A Comparison of Methods for Computing Autocorrelation Time
%U http://arxiv.org/abs/1011.0175
%X 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.
@misc{thompson2010comparison,
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.},
added-at = {2020-07-08T14:55:04.000+0200},
author = {Thompson, Madeleine B.},
biburl = {https://www.bibsonomy.org/bibtex/2b2ad67740ea84d098baee8986307c48d/cmcneile},
description = {A Comparison of Methods for Computing Autocorrelation Time},
interhash = {60e40fb0c94d4b96e095d044b847d415},
intrahash = {b2ad67740ea84d098baee8986307c48d},
keywords = {statistics},
note = {cite arxiv:1011.0175},
timestamp = {2020-07-08T14:55:04.000+0200},
title = {A Comparison of Methods for Computing Autocorrelation Time},
url = {http://arxiv.org/abs/1011.0175},
year = 2010
}