Calculate the minimum effective samples required for appropriate accuracy.
● Data Source:
CranContrib
● Keywords: ~kwd1, ~kwd2
● Alias: minESS
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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. The package also provides functions for computing effective sample size and for plotting Monte Carlo estimates versus sample size.
● Data Source:
CranContrib
● Keywords:
● Alias: mcmcse, mcmcse-package
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Function returns the estimate of the covariance matrix in the Markov Chain CLT using batch means or spectral variance methods (with different lag windows). The function also returns the volume of the resulting ellipsoidal confidence regions.
● Data Source:
CranContrib
● Keywords:
● Alias: mcse.multi
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Constructs confidence regions (ellipses) from the Markov chain output for the features of interest. Function uses the ellipse package.
● Data Source:
CranContrib
● Keywords:
● Alias: confRegion
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estvssamp
(Package: mcmcse) :
Create a plot that shows how Monte Carlo estimates change with increasing sample size.
Create a plot that shows how Monte Carlo estimates change with increasing sample size.
● Data Source:
CranContrib
● Keywords:
● Alias: estvssamp
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mcse.q
(Package: mcmcse) :
Compute Monte Carlo standard errors for quantiles.
Compute Monte Carlo standard errors for quantiles.
● Data Source:
CranContrib
● Keywords:
● Alias: mcse.q
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mcse
(Package: mcmcse) :
Compute Monte Carlo standard errors for expectations.
Compute Monte Carlo standard errors for expectations.
● Data Source:
CranContrib
● Keywords:
● Alias: mcse
●
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ess
(Package: mcmcse) :
Estimate effective sample size (ESS) as described in Gong and Felgal (2015).
Estimate effective sample size (ESS) as described in Gong and Flegal (2015).
● Data Source:
CranContrib
● Keywords:
● Alias: ess
●
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Calculate the effective sample size of the Markov chain, using the multivariate dependence structure of the process.
● Data Source:
CranContrib
● Keywords:
● Alias: multiESS
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mcse.mat
(Package: mcmcse) :
Apply code{mcse
Apply mcse to each column of a matrix or data frame of MCMC samples.
● Data Source:
CranContrib
● Keywords:
● Alias: mcse.mat
●
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