GSoC/GCI Archive
Google Summer of Code 2015 R Project for Statistical Computing

Covariance Matrix Estimation for Markov Chain Monte Carlo in R

by Dootika Vats for R Project for Statistical Computing

I propose to extend the current mcmcse package in R to include multivariate extensions of the batch means, overlapping batch means and spectral variance estimators of the Monte Carlo error. In addition, I propose to add functions to this package that would be able to make use of this joint estimation.