public void EffectiveSizeTest()
{
int Length = 10;
double[] Series = new double[Length];
for (int i = 0; i < Length; i++)
{
Series[i] = RandomSeries();
}
double rho = MCMCDiagnostics.ACF(Series, 1, x => x * x);
double ESS = (1 - rho) / (1 + rho) * Length;
Assert.AreEqual(ESS, MCMCDiagnostics.EffectiveSize(Series, x => x * x), 10e-13);
}
public void EffectiveSizeTest()
{
const int length = 10;
var series = new double[length];
for (int i = 0; i < length; i++)
{
series[i] = RandomSeries();
}
double rho = MCMCDiagnostics.ACF(series, 1, x => x * x);
double ess = (1 - rho) / (1 + rho) * length;
Assert.AreEqual(ess, MCMCDiagnostics.EffectiveSize(series, x => x * x), 10e-13);
}
public void LagNegative()
{
Assert.That(() => MCMCDiagnostics.ACF(new double[10], -1, x => x), Throws.TypeOf <ArgumentOutOfRangeException>());
}
private static double CalculateAutocorrelation(Signal signal, int lag)
{
return(MCMCDiagnostics.ACF(signal.Readouts, lag, x => x));
}