summary.mcmc_output {bssm}R Documentation

Summary of MCMC object

Description

This functions returns a list containing mean, standard deviations, standard errors, and effective sample size estimates for parameters and states.

Usage

## S3 method for class 'mcmc_output'
summary(object, return_se = FALSE, variable = "theta", only_theta = FALSE, ...)

Arguments

object

Output from run_mcmc

return_se

if FALSE (default), computation of standard errors and effective sample sizes is omitted.

variable

Are the summary statistics computed for either "theta" (default), "states", or "both"?

only_theta

Deprecated. If TRUE, summaries are computed only for hyperparameters theta.

...

Ignored.

Details

For IS-MCMC two types of standard errors are reported. SE-IS can be regarded as the square root of independent IS variance, whereas SE corresponds to the square root of total asymptotic variance (see Remark 3 of Vihola et al. (2020)).

References

Vihola, M, Helske, J, Franks, J. Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo. Scand J Statist. 2020; 1-38. https://doi.org/10.1111/sjos.12492


[Package bssm version 1.1.7-1 Index]