mcmcse: Monte Carlo Standard Errors for MCMC

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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.

Author
James M. Flegal <jflegal@ucr.edu>, John Hughes <hughesj@umn.edu> and Dootika Vats <vatsx007@umn.edu>
Date of publication
2016-03-25 20:01:01
Maintainer
James M. Flegal <jflegal@ucr.edu>
License
GPL (>= 2)
Version
1.2-1
URLs

View on CRAN

Man pages

confRegion
Confidence regions (ellipses) from Markov chain Monte Carlo
ess
Estimate effective sample size (ESS) as described in Gong and...
estvssamp
Create a plot that shows how Monte Carlo estimates change...
mcmcse-package
Monte Carlo Standard Errors for MCMC
mcse
Compute Monte Carlo standard errors for expectations.
mcse.mat
Apply 'mcse' to each column of a matrix or data frame of MCMC...
mcse.multi
Multivariate Monte Carlo Standard Errors Estimation.
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...
minESS
Minimum effective sample size.
multiESS
Effective Sample Size of a multivariate Markov chain.
qqTest
QQplot for Markov chains

Files in this package

mcmcse
mcmcse/COPYING
mcmcse/inst
mcmcse/inst/CITATION
mcmcse/inst/doc
mcmcse/inst/doc/mcmcse_vignette.R
mcmcse/inst/doc/mcmcse_vignette.pdf
mcmcse/inst/doc/mcmcse_vignette.Rnw
mcmcse/tests
mcmcse/tests/testthat.R
mcmcse/tests/testthat
mcmcse/tests/testthat/test_validity.R
mcmcse/src
mcmcse/src/msveC.cpp
mcmcse/src/Makevars.win
mcmcse/src/RcppExports.cpp
mcmcse/src/mbmC.cpp
mcmcse/NAMESPACE
mcmcse/R
mcmcse/R/qq_test.R
mcmcse/R/mcse_multi.R
mcmcse/R/confRegion.R
mcmcse/R/multiESS.R
mcmcse/R/RcppExports.R
mcmcse/R/minESS.R
mcmcse/R/zzz.R
mcmcse/R/mcmcse.R
mcmcse/vignettes
mcmcse/vignettes/mcse.bib
mcmcse/vignettes/mcmcse_vignette.fdb_latexmk
mcmcse/vignettes/mcmcse_vignette.Rnw
mcmcse/MD5
mcmcse/build
mcmcse/build/vignette.rds
mcmcse/DESCRIPTION
mcmcse/man
mcmcse/man/minESS.Rd
mcmcse/man/mcmcse-package.Rd
mcmcse/man/mcse.multi.Rd
mcmcse/man/confRegion.Rd
mcmcse/man/estvssamp.Rd
mcmcse/man/mcse.q.Rd
mcmcse/man/mcse.Rd
mcmcse/man/ess.Rd
mcmcse/man/multiESS.Rd
mcmcse/man/mcse.mat.Rd
mcmcse/man/qqTest.Rd
mcmcse/man/mcse.q.mat.Rd