ubc-stat-ml / mcmcse.jl

A Julia port of the R package mcmcse

mcmcse.jl

This is a pure-Julia adaptation of the R package mcmcse, which you can find on CRAN and on Github.

Installation

From the Julia REPL, enter package mode by typing ], then write

add https://github.com/UBC-Stat-ML/mcmcse.jl.git

Details

Currently mcmcse.jl contains only the core funcionalities in mcmcse

• mcvar implements some of the mcse-like functions in mcmcse via multiple-dispatch
• batch_size implements mcmcse::batchSize() for automatic batch size determination
• ess implements mcmcse::ess() for estimating the effective sample size

References

James M. Flegal, John Hughes, Dootika Vats, Ning Dai, Kushagra Gupta, and Uttiya Maji. (2021). mcmcse: Monte Carlo Standard Errors for MCMC. R package version 1.5-0. Riverside, CA, and Kanpur, India.