A Comparison of Methods for Computing Autocorrelation Time - Statistics > ComputationReport as inadecuate




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Abstract: This paper describes four methods for estimating autocorrelation time andevaluates these methods with a test set of seven series. Fitting anautoregressive process appears to be the most accurate method of the four. An Rpackage is provided for extending the comparison to more methods and testseries.



Author: Madeleine B. Thompson

Source: https://arxiv.org/







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