Monte Carlo Standard Errors for MCMC


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Documentation for package ‘mcmcse’ version 1.5-1

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mcmcse-package Monte Carlo Standard Errors for MCMC
batchSize Batch size (truncation point) selection
BVN_Gibbs MCMC samples from a bivariate normal distribution
confRegion Confidence regions (ellipses) for Monte Carlo estimates
ess Univariate effective sample size (ESS) as described in Gong and Flegal (2015)
estvssamp Create a plot that shows how Monte Carlo estimates change with increasing sample size
is.mcmcse Check if the class of the object is mcmcse
mcmcse Monte Carlo Standard Errors for MCMC
mcse Compute Monte Carlo standard errors for expectations
mcse.initseq Multivariate Monte Carlo standard errors for expectations with the initial sequence method of Dai and Jones (2017)
mcse.mat Apply 'mcse' to each column of the MCMC samples
mcse.multi Multivariate Monte Carlo standard errors for expectations
mcse.q Compute Monte Carlo standard errors for quantiles
mcse.q.mat Apply 'mcse.q' to each column of a matrix or data frame of MCMC samples
minESS Minimum effective sample size required for stable estimation as described in Vats et al. (2015)
multiESS Effective Sample Size of a multivariate Markov chain as described in Vats et al. (2015)