# mcmcse v1.3-2

0

Monthly downloads

## 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.

## Functions in mcmcse

Name | Description | |

mcse.mat | Apply mcse to each column of a matrix or data frame of MCMC samples. | |

mcse.multi | Multivariate Monte Carlo standard errors for expectations. | |

confRegion | Confidence regions (ellipses) for Monte Carlo estimates | |

ess | Estimate effective sample size (ESS) as described in Gong and Felgal (2015). | |

mcse.q | Compute Monte Carlo standard errors for quantiles. | |

mcse.q.mat | Apply mcse.q to each column of a matrix or data frame of MCMC samples. | |

estvssamp | Create a plot that shows how Monte Carlo estimates change with increasing sample size. | |

mcmcse-package | Monte Carlo Standard Errors for MCMC | |

mcse | Compute Monte Carlo standard errors for expectations. | |

mcse.initseq | Multivariate Monte Carlo standard errors for expectations with the initial sequence method of Dai and Jones (2017). | |

minESS | Minimum effective sample size required for stable estimation as described in Vats et al. (2015). | |

multiESS | Effective Sample Size of a multivariate Markov chain as described in Vats et al. (2015). | |

qqTest | QQplot for Markov chains | |

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## Vignettes of mcmcse

Name | ||

mcmcse_vignette-concordance.tex | ||

mcmcse_vignette.Rnw | ||

mcse.bib | ||

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## Last month downloads

## Details

Date | 2017-07-03 |

LinkingTo | Rcpp, RcppArmadillo |

License | GPL (>= 2) |

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

VignetteBuilder | knitr |

Repository | CRAN |

NeedsCompilation | yes |

Packaged | 2017-07-04 07:02:42 UTC; Dootika |

Date/Publication | 2017-07-04 07:20:37 UTC |

imports | ellipse , Rcpp (>= 0.12.10) , utils |

suggests | knitr , mAr , testthat |

linkingto | RcppArmadillo |

Contributors | James M Flegal, Dootika Vats, John Hughes, Ning Dai |

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