The output analysis tools developed in various papers are integrated into multiple R packages.

  • R package mcmcse. [CRAN] [GitHub devel version]
    Provides tools for computing Monte Carlo standard errors (MCSE) in Markov chain Monte Carlo (MCMC) settings. MCSE computation for expectation and quantile estimators is supported as well as multivariate estimations. The package also provides functions for computing effective sample size and for plotting Monte Carlo estimates versus sample size. Co-developers: James Flegal, John Hughes, Ning Dai.

  • R package stableGR [GitHub devel version]
    A stable Gelman-Rubin diagnostic for Markov chain Monte Carlo. Package uses stable variance estimates to calculate the Gelman-Rubin diagnostic, in addition to smart cut-offs for the diagnostic. The package is built compatible with multiple chain inputs.
    Maintainer and co-developer: Christina Knudson