R: Autocorrelation function for Markov chains

autocorr.diag {coda} | R Documentation

## Autocorrelation function for Markov chains

### Description

`autocorr.diag` calculates the autocorrelation function for the Markov chain `mcmc.obj` at the lags given by `lags`. The lag values are taken to be relative to the thinning interval if `relative=TRUE`. Unlike `autocorr`, if `mcmc.obj` has many parmeters it only computes the autocorrelations with itself and not the cross correlations. In cases where `autocorr` would return a matrix, this function returns the diagonal of the matrix. Hence it is more useful for chains with many parameters, but may not be as helpful at spotting parameters.

If `mcmc.obj` is of class `mcmc.list` then the returned vector is the average autocorrelation across all chains.

### Usage

    autocorr.diag(mcmc.obj, ...)

### Arguments

`mcmc.obj` | an object of class `mcmc` or `mcmc.list`
`...` | optional arguments to be passed to `autocorr`

### Value

A vector containing the autocorrelations.

### Author(s)

Russell Almond

### See Also

`autocorr`, `acf`, `autocorr.plot`.

[Package coda version 0.19-1 Index]