I could not find any (integrated) autocorrelation time estimator in the basic statistics packages*, so I made a crude implementation myself based on
StatsBase.autocor and the tips given in http://www.stat.unc.edu/faculty/cji/Sokal.pdf. At the moment my implementation is just part of another package (under construction), but I realized that calculating autocorrelation times is of more general importance, so this functionality should maybe be moved somewhere else… (like to
Of course, a more rigorous and less heuristic implementation/algorithm would be advantageous, if anyone is aware of that…
*Except apparently somewhere in this package, which seems to have been abandoned.