getCI: Calculates simultaneous confidence intervals.

In dvats/SimTools: Toolkit for Simulation Output Including Monte Carlo and MCMC

Calculates simultaneous confidence intervals.

Description

Calculates simultaneous confidence intervals for means and quantiles as indicated for the desired MCMC output

Usage

getCI(x, Q = c(0.1, 0.9), alpha = 0.05, thresh = 0.001, iid = FALSE,
            mean = TRUE)

Arguments

x	: a ‘Smcmc’ class object
Q	: vector of quantiles
alpha	: confidence levels of the simulatenous intervals
thresh	: threshold for the optimization methodology that calculates the simultaneous CIs
iid	: logical argument for constructing density plot for iid samples. Defaults to FALSE
mean	: logical indicating whether mean is to be plotted

Value

adds segments for confidence intervals into an already existing plot environment

References

Robertson, N., Flegal, J. M., Vats, D., and Jones, G. L., “Assessing and Visualizing Simultaneous Simulation Error”, Journal of Computational and Graphical Statistics, 2020.

Examples

chain <- matrix(0, ncol = 1, nrow = 1e3)
chain[1,] <- 0
err <- rnorm(1e3)
for(i in 2:1e3)
{
  chain[i,] <- .3*chain[i-1,] + err[i]
}
chain <- Smcmc(list(chain))
plot(density(chain$stacked[,1]))
CIs <- getCI(chain)
addCI(chain, CIs, component = 1)

dvats/SimTools documentation built on May 14, 2023, 1:28 p.m.