Calendar
Warwick R User Group — Standard Errors for MCMC
Location: Statistics Common Room (C0.06), Zeeman Building
- Standard Errors for Markov Chain Monte Carlo with the mcmcse R package
Dootika Vats (Warwick, Statistics)
Markov chain Monte Carlo (MCMC) is a method of producing a correlated sample in order to estimate expectations with respect to a target distribution. A fundamental question is when should sampling stop so that we have good estimates of the desired quantities? The key to answering these questions lies in assessing the Monte Carlo error through a multivariate Markov chain central limit theorem. This talk presents the R package mcmcse, which provides estimators for the asymptotic covariance matrix in the Markov chain CLT. In addition, the package calculates a multivariate effective sample size which can be rigorously used to terminate MCMC simulation. I will present the use of the R package mcmcse to conduct robust, valid, and theoretically just output analysis for Markov chain data.
