Module mcmc::ess

Effective Sample Size (ESS)

Functions

compute_effective_sample_size	Computes the effective sample size (ESS) for the specified parameter across all kept samples. The value returned is the minimum of ESS and the number_total_draws * log10(number_total_draws). When the number of total draws N is odd, the (N+1)/2th draw is ignored.
compute_estimated_mcse	Computes the Monte Carlo Standard Error (MCSE) for the specified parameter across all samples, which is the standard deviation of the samples over the square root of effective sample size.
compute_split_effective_sample_size	Computes the split effective sample size (ESS) for the specified parameter across all kept samples. The value returned is the minimum of ESS and the number_total_draws * log10(number_total_draws). When the number of total draws N is odd, the (N+1)/2th draw is ignored.