mcse: Monte Carlo standard error of posterior summaries

In choicer: Discrete Choice Models for Economic Applications

Monte Carlo standard error of posterior summaries

Description

Monte Carlo standard error (MCSE) of the posterior mean or median, using the rank-normalized bulk/tail ESS from ess. kind = "mean": MCSE = SD / sqrt(ess_bulk). kind = "median": MCSE = sqrt(pi/2) * SD / sqrt(ess_tail) (the closed-form normal asymptotic-efficiency approximation; 2/pi is the asymptotic relative efficiency of the sample median vs. the mean under normality).

Usage

mcse(draws, kind = c("mean", "median"))

Arguments

draws	A matrix of posterior draws (rows = iterations, columns = parameters) for a single chain, or a list of such matrices (one per chain, identical dimensions).
kind	"mean" (default) or "median".

Value

Named numeric vector, one value per parameter (NA when the underlying ESS or pooled SD is undefined).

Examples

set.seed(42)
draws <- matrix(rnorm(2000), ncol = 2,
                dimnames = list(NULL, c("a", "b")))
mcse(draws)
mcse(draws, kind = "median")

choicer documentation built on Sept. 5, 2026, 1:07 a.m.