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.


Reference manual

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1.4-1 by Dootika Vats, 2 years ago ,,

Browse source code at

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

Documentation:   PDF Manual  

Task views: Bayesian Inference

GPL (>= 2) license

Imports utils, ellipse, Rcpp

Suggests mAr, knitr

Linking to Rcpp, RcppArmadillo

Imported by JointAI, bayes4psy, bpgmm, dirmcmc, eiCompare, nse, postpack, qbld, sklarsomega.

Depended on by copCAR, stableGR.

Suggested by LNIRT, bayesImageS, bmscstan.

See at CRAN