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 as well as multivariate estimations. The package also provides functions for computing effective sample size and for plotting Monte Carlo estimates versus sample size.

Documentation

Manual: mcmcse.pdf
Vignette: Using mcmcse

Maintainer: James M. Flegal <jflegal at ucr.edu>

Author(s): James M. Flegal <jflegal at ucr.edu>, John Hughes <hughesj at umn.edu> and Dootika Vats <vatsx007 at umn.edu>

Install package and any missing dependencies by running this line in your R console:

install.packages("mcmcse")

Depends
Imports utils, ellipse, Rcpp(>=0.11.3)
Suggests testthat, mAr, knitr
Enhances
Linking to Rcpp, RcppArmadillo
Reverse
depends
copCAR
Reverse
imports
dirmcmc, nse
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package mcmcse
Materials
URL http://faculty.ucr.edu/~jflegal http://www.biostat.umn.edu/~johnh http://www.stat.umn.edu/~vatsx007
Task Views
Version 1.2-1
Published 2016-03-25
License GPL (>= 2)
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks mcmcse check results
Package source mcmcse_1.2-1.tar.gz