a matrix or data frame with each row being a
draw from the multivariate distribution of interest.
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.
g
a function such that E(g(x)) is the
quantity of interest. The default is NULL, which
causes the identity function to be used.
method
the method used to compute the standard
error. This is one of “bm” (batch means,
the default), “obm” (overlapping batch
means), “tukey” (spectral variance method
with a Tukey-Hanning window), or “bartlett”
(spectral variance method with a Bartlett window).
Value
mcse.mat returns a matrix with ncol(x) rows
and two columns. The row names of the matrix are the same
as the column names of x. The column names of the
matrix are “est” and “se”.
The jth row of the matrix contains the result of
applying mcse to the jth column of x.
See Also
mcse, which acts on a vector.
mcse.multi, for a multivariate estimate of the Monte Carlo standard error.
mcse.q and mcse.q.mat, which
compute standard errors for quantiles.