An R package 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.
This R package is on CRAN, and its preferred URL being https://CRAN.R-project.org/package=mcmcse.
To download this development repo, through the the devtools package:
# install.packages("devtools")
library(devtools)
devtools::install_github("dvats/mcmcse")
Please run citation("mcmcse") after loading the package for citation details.
Version 1.5-0 is now live! There are big speed improvements in the functions and a new mcmcse object. Special thanks to Google Summer of Code.