numEff {bayesm} | R Documentation

## Compute Numerical Standard Error and Relative Numerical Efficiency

### Description

`numEff` computes the numerical standard error for the mean of a vector of draws as well as the relative numerical efficiency (ratio of variance of mean of this time series process relative to iid sequence).

### Usage

    numEff(x, m = as.integer(min(length(x), (100/sqrt(5000)) * sqrt(length(x)))))

### Arguments

`x` | R x 1 vector of draws
`m` | number of lags for autocorrelations

### Details

default for number of lags is chosen so that if R = 5000, m =100 and increases as the sqrt(R).

### Value

`stderr` | standard error of the mean of x
`f` | variance ratio (relative numerical efficiency)

### Warning

This routine is a utility routine that does not check the input arguments for proper dimensions and type.

### Author(s)

Peter Rossi, Graduate School of Business, University of Chicago, Peter.Rossi@ChicagoGsb.edu.

### References

For further discussion, see Bayesian Statistics and Marketing by Rossi, Allenby and McCulloch, Chapter 3.
http://gsbwww.uchicago.edu/fac/peter.rossi/research/bsm.html

### Examples

     numEff(rnorm(1000),m=20)
     numEff(rnorm(1000))

[Package bayesm version 2.0-8 Index]