R: Overlapping Batch Means

olbm {mcmc}

R Documentation

Overlapping Batch Means

Variance of sample mean of time series calculated using overlapping batch means.

olbm(x, batch.length, demean = TRUE)

`x`	a matrix or time series object. Each column of `x` is treated as a scalar time series.
`batch.length`	length of batches.
`demean`	when `demean = TRUE` (the default) the sample mean is subtracted from each batch mean when estimating the variance. Using `demean = FALSE` would essentially assume the true mean is known to be zero, which might be useful in a toy problem where the answer is known.

The estimated variance of the sample mean.

library(ts)
x <- arima.sim(n = 2e3, list(ar = 0.9))
x <- matrix(x, ncol = 2, byrow = TRUE)
olbm(x, 30)