Calculation of SEof mean in STAN


I am interested to know the explanation of SE(mean) in STAN model output for model co-efficient. How it is being calculated?

Any help would be highly appreciated!



An MCMC sampler produces an estimate of the mean. The error in that estimate depends on the number of effective samples \mathrm{N_{eff}}.
The SE column in the output is the Monte Carlo sampler error (MCSE) which is proportional to 1/\sqrt{\mathrm{N_{eff}}} instead of 1/\sqrt{\mathrm{N}}. As \mathrm{N_{eff}} increases, the MCSE approaches 0 and the estimated parameter mean approaches the true mean.


Thanks Morris!