File ess_updater_autocovariance.hpp

Functions

template<typename NT, typename VT>
void compute_autocovariance(VT const &samples, VT &auto_cov)

Compute autocovariance estimates for every lag for the input sequence using the Geyer’s stable estimator given in Charles J. Geyer, Practical Markov Chain Monte Carlo, Statistical Science 1992.

Template Parameters:

• NT – number type

• VT – vector type

Parameters:

• samples – the sequence of correlated samples

• auto_cov – the autocovariance estimates