Functions and classes to store, manipulate and summarise Monte Carlo Markov Chain (MCMC) samples.

`mcmcr`

is an R package to manipulate Monte Carlo Markov Chain (MCMC)
samples.

For the purposes of this discussion, an MCMC *sample* represents the
value of a *term* from a single *iteration* of a single *chain*. While a
simple *parameter* such as an intercept corresponds to a single term,
more complex parameters such as an interaction between two factors
consists of multiple terms with their own inherent dimensionality - in
this case a matrix. A set of MCMC samples can be stored in different
ways.

The three most common S3 classes store MCMC samples as follows:

`coda::mcmc`

stores the MCMC samples from a single chain as a matrix where each each row represents an iteration and each column represents a variable`coda::mcmc.list`

stores multiple`mcmc`

objects (with identical dimensions) as a list where each object represents a parallel chain`rjags::mcarray`

stores the samples from a single parameter where the initial dimensions are the parameter dimensions, the second to last dimension is iterations and the last dimension is chains.

In the first two cases the terms/parameters are represented by a single
dimension which means that the dimensionality inherent in the parameters
is stored in the labelling of the variables, ie, `"bIntercept", "bInteraction[1,2]", "bInteraction[2,1]", ...`

. The structure of the
`mcmc`

and `mcmc.list`

objects emphasizes the time-series nature of MCMC
samples and is optimized for thining. In contrast `mcarray`

objects
preserve the dimensionality of the parameters.

The `mcmcr`

package defines three related S3 classes which also preserve
the dimensionality of the parameters:

`mcmcr::mcmcarray`

is very similar to`rjags::mcarray`

except that the first dimension is the chains, the second dimension is iterations and the subsequent dimensions represent the dimensionality of the parameter (it is called`mcmcarray`

to emphasize that the MCMC dimensions ie the chains and iterations come first);`mcmcr::mcmcr`

stores multiple uniquely named`mcmcarray`

objects with the same number of chains and iterations.`mcmcr::mcmcrs`

stores multiple`mcmcr`

objects with the same parameters, chains and iterations.

`mcmcarray`

objects were developed to facilitate manipulation of the
MCMC samples (although they are just one `aperm`

away from `mcarray`

objects they are more intuitive to program with - at least for this
programmer!). `mcmcr`

objects were developed to allow a set of
dimensionality preserving parameters from a single analysis to be
manipulated as a whole. `mcmcrs`

objects were developed to allow the
results of multiple analyses using the same model to be manipulated
together.

In addition the `mcmcr`

package defines the `term`

vector to store and
manipulate the term labels, ie, `"bIntercept", "bInteraction[1,2]", "bInteraction[2,1]"`

, when the MCMC samples are summarised in tabular
form.

The `mcmcr`

package also introduces a variety of (often) generic
functions to manipulate and query `mcmcarray`

, `mcmcr`

and `mcmcrs`

objects. In particular it provides functions to

- coerce from and to
`mcarray`

,`mcmc`

and`mcmc.list`

objects; - extract an objects
`coef`

table (as a tibble); - query an object’s
`nchains`

,`niters`

,`npars`

,`nterms`

,`nsims`

and`nsams`

as well as it’s parameter dimensions (`pdims`

) and term dimensions (`tdims`

); `subset`

objects by chains, iterations and/or parameters;`bind_xx`

a pair of objects by their`xx_chains`

,`xx_iterations`

,`xx_parameters`

or (parameter)`xx_dimensions`

;- combine the samples of two (or more) MCMC objects using
`combine_samples`

(or`combine_samples_n`

) or combine the samples of a single MCMC object by reducing its dimensions using`combine_dimensions`

; `collapse_chains`

or`split_chains`

an object’s chains;`mcmc_map`

over an objects values;- assess if an object has
`converged`

using`rhat`

and`esr`

(effectively sampling rate); - and of course
`thin`

,`rhat`

,`ess`

(effective sample size),`print`

,`plot`

etc said objects.

The code is opinionated which has the advantage of providing a small set
of stream-lined functions. For example the only ‘convergence’ metric is
the uncorrected, untransformed, univariate split R-hat (potential scale
reduction factor). If you can convince me that additional features are
important I will add them or accept a pull request (see below).
Alternatively you might want to use the `mcmcr`

package to manipulate
your samples before coercing them to an `mcmc.list`

to take advantage of
all the summary functions in packages such as `coda`

.

library(mcmcr)mcmcr_example#> $alpha#> [1] 3.718025 4.718025#>#> nchains: 2#> niters: 400#>#> $beta#> [,1] [,2]#> [1,] 0.9716535 1.971654#> [2,] 1.9716535 2.971654#>#> nchains: 2#> niters: 400#>#> $sigma#> [1] 0.7911975#>#> nchains: 2#> niters: 400coef(mcmcr_example)#> # A tibble: 7 x 7#> term estimate sd zscore lower upper pvalue#> <S3: term> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>#> 1 alpha[1] 3.72 0.901 4.15 2.21 5.23 0.00120#> 2 alpha[2] 4.72 0.901 5.26 3.21 6.23 0.00120#> 3 beta[1,1] 0.972 0.375 2.57 0.251 1.71 0.0225#> 4 beta[2,1] 1.97 0.375 5.24 1.25 2.71 0.005#> 5 beta[1,2] 1.97 0.375 5.24 1.25 2.71 0.005#> 6 beta[2,2] 2.97 0.375 7.91 2.25 3.71 0.00120#> 7 sigma 0.791 0.741 1.31 0.425 2.56 0.00120rhat(mcmcr_example, by = "term")#> $alpha#> [1] 2.002 2.002#>#> $beta#> [,1] [,2]#> [1,] 1.147 1.147#> [2,] 1.147 1.147#>#> $sigma#> [1] 0.998plot(mcmcr_example[["alpha"]])

To install the latest official release from CRAN

```
install.packages("mcmcr")
```

To install the latest development version from GitHub

```
# install.packages("devtools")
devtools::install_github("poissonconsulting/err")
devtools::install_github("poissonconsulting/checkr")
devtools::install_github("poissonconsulting/mcmcr")
```

Alternatively install the latest development version from the Poisson drat repository

```
# install.packages("drat")
drat::addRepo("poissonconsulting")
install.packages("mcmcr")
```

Please report any issues.

Pull requests are always welcome.

Please note that this project is released with a Contributor Code of Conduct. By participating in this project you agree to abide by its terms.

- allow NAs in values to calculate pvalues
- updated to not use length argument in checkr as deprecated
- added CRAN and Zenodo badges

- released to CRAN