mcmcse (Q20181)
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Monte Carlo Standard Errors for MCMC
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | mcmcse |
Monte Carlo Standard Errors for MCMC |
Statements
expanded from: GPL (≥ 2) (English)
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James M. Flegal,john Hughes,dootika Vats
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James M. Flegal
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John Hughes
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Ning Dai
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Kushagra Gupta
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Uttiya Maji
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21 September 2025
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Provides tools for computing Monte Carlo standard errors (MCSE) in Markov chain Monte Carlo (MCMC) settings (survey in <doi:10.1201/b10905>, Chapter 7). 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.
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Identifiers
22 September 2021
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