Monte Carlo Standard Errors for MCMC

Provides tools for computing Monte Carlo standard errors (MCSE) in Markov chain Monte Carlo (MCMC) settings. MCSE computation for expectation and quantile estimators is supported as well as multivariate estimations. The package also provides functions for computing effective sample size and for plotting Monte Carlo estimates versus sample size.


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Reference manual

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install.packages("mcmcse")

1.3-2 by Dootika Vats, 2 years ago


http://faculty.ucr.edu/~jflegal , http://johnhughes.org, http://www2.warwick.ac.uk/fac/sci/statistics/crism/visitors/vats


Browse source code at https://github.com/cran/mcmcse


Authors: James M. Flegal <[email protected]> , John Hughes <[email protected]> , Dootika Vats <[email protected]> , and Ning Dai <[email protected]>


Documentation:   PDF Manual  


GPL (>= 2) license


Imports utils, ellipse, Rcpp

Suggests testthat, mAr, knitr

Linking to Rcpp, RcppArmadillo


Imported by JointAI, bayes4psy, bpgmm, dirmcmc, nse, sklarsomega.

Depended on by copCAR.

Suggested by bayesImageS.


See at CRAN