Calculate MC standard error using LaplacesDemon's batch means

This function gives a good approximation of the "true" standard deviation in the case of independent samples. Multiply by qnorm(x) to obtain the x-quantile.

Usage

funMCSELD(x)

Arguments

x

matrix, each row being a "trace", that is a set of MC samples, whose MCSE is to be estimated.

Value

MCSE estimates, one for each trace. Division by sqrt(N) is already performed.

Details

Modified from https://github.com/LaplacesDemonR/LaplacesDemon/blob/master/R/ESS.R.

Tested also on t-distributions with df=1.1 and Pareto with a=1.5 (mean exists, variance infinite).

sd() / sqrt(funESS3() gives essentially identical results to funMCSELD(), but it's 20 times slower.

Used in 'util_combineYX()' in 'Pr()'.