batchSE

0th

Percentile

Batch Standard Error

Effective standard deviation of population to produce the correct standard errors.

Keywords
ts
Usage
batchSE(x, batchSize=100)
Arguments
x
An mcmc or mcmc.list object.
batchSize
Number of observations to include in each batch.
Details

Because of the autocorrelation, the usual method of taking var(x)/n overstates the precision of the estimate. This method works around the problem by looking at the means of batches of the parameter. If the batch size is large enough, the batch means should be approximately uncorrelated and the normal formula for computing the standard error should work.

The batch standard error procedure is usually thought to be not as accurate as the time series methods used in summary and effectiveSize. It is included here for completeness.

Value

  • A vector giving the standard error for each column of x.

References

Roberts, GO (1996) Markov chain concepts related to sampling algorithms, in Gilks, WR, Richardson, S and Spiegelhalter, DJ, Markov Chain Monte Carlo in Practice, Chapman and Hall, 45-58.

See Also

spectrum0.ar, effectiveSize, summary.mcmc

Aliases
  • batchSE
Documentation reproduced from package coda, version 0.17-1, License: GPL (>= 2)

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