mcmcse

Batch size (truncation point) selection

Confidence regions (ellipses) for Monte Carlo estimates

Univariate estimate effective sample size (ESS) as described in Gong and Felgal (2015).

Create a plot that shows how Monte Carlo estimates change with increasing sample size.

Monte Carlo Standard Errors for MCMC

Compute Monte Carlo standard errors for expectations.

Multivariate Monte Carlo standard errors for expectations with the initial sequence method of Dai and Jones (2017).

Apply mcse to each column of a matrix or data frame of MCMC samples.

Multivariate Monte Carlo standard errors for expectations.

Compute Monte Carlo standard errors for quantiles.

Apply mcse.q to each column of a matrix or data frame of MCMC samples.

Minimum effective sample size required for stable estimation as described in Vats et al. (2015).

Effective Sample Size of a multivariate Markov chain as described in Vats et al. (2015).

QQplot for Markov chains