Description
Monte Carlo Standard Errors for MCMC.
Description
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.
README.md
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.