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### This is a replacement for the autocorrelation function
### which only gives the autocorrelations and not the cross correlations.
"autocorr.diag" <- function (mcmc.obj, ...) {
UseMethod("autocorr.diag")
}
### Only looks at the diagonal elements of the autocorrlation matrix.
"autocorr.diag.mcmc" <- function (mcmc.obj,...) {
ac <- autocorr(mcmc.obj,...)
dd <- dim(ac)
result <- matrix(NA,nrow=dd[1],ncol=dd[2],dimnames =dimnames(ac)[1:2])
for (i in 1:dd[2]) {
result[,i] <- ac[,i,i]
}
return (result)
}
### Looks at the average autocorrelation for all chains series.
"autocorr.diag.mcmc.list" <- function (mcmc.obj,...) {
ac <- lapply(mcmc.obj,autocorr.diag.mcmc,...)
result <- ac[[1]]
if (length(ac) > 1) {
for (chain in 2:length(ac)) {
result <- result + ac[[chain]]
}
}
return (result/length(ac))
}
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