Monte Carlo Standard Errors for MCMC

Provides tools for computing Monte Carlo standard errors (MCSE) in Markov chain Monte Carlo (MCMC) settings (survey in , Chapter 7). 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.

mcmcse

An R package 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.

Installation

This R package is on CRAN, and its preferred URL being https://CRAN.R-project.org/package=mcmcse.

To download this development repo, through the the devtools package:

# install.packages("devtools")
library(devtools)
devtools::install_github("dvats/mcmcse")

Citation

Please run citation("mcmcse") after loading the package for citation details.

News

Version 1.5-0 is now live! There are big speed improvements in the functions and a new mcmcse object. Special thanks to Google Summer of Code.