R: Perform consistent batch means estimation on a vector of...
bm
R Documentation
Perform consistent batch means estimation on a vector of values from a Markov chain.
Description
Perform consistent batch means estimation on a vector of
values from a Markov chain.
Usage
bm(x, size = "sqroot", warn = FALSE)
Arguments
x
a vector of values from a Markov chain.
size
the batch size. The default value is
“sqroot”, which uses the square root of the
sample size. “cuberoot” will cause the
function to use the cube root of the sample size. A
numeric value may be provided if neither
“sqroot” nor “cuberoot” is
satisfactory.
warn
a logical value indicating whether the
function should issue a warning if the sample size is too
small (less than 1,000).
Value
bm returns a list with two elements:
est
the mean of the vector.
se
the MCMC
standard error based on the consistent batch means
estimator.
References
Jones, G. L., Haran, M., Caffo, B. S. and Neath, R.
(2006) Fixed-width output analysis for Markov chain Monte
Carlo. Journal of the American Statistical
Association, 101, 1537–1547.
The following article is less technical and contains a
direct comparison to the Gelman-Rubin diagnostic.
Flegal, J. M., Haran, M. and Jones, G. L. (2008) Markov
chain Monte Carlo: Can we trust the third significant
figure? Statistical Science, 23, 250–260.
See Also
bmmat, which applies bm to each
column of a matrix or data frame.