A Comparison of Methods for Computing Autocorrelation Time
Computation
2010-11-02 v1
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.
Cite
@article{arxiv.1011.0175,
title = {A Comparison of Methods for Computing Autocorrelation Time},
author = {Madeleine B. Thompson},
journal= {arXiv preprint arXiv:1011.0175},
year = {2010}
}