Se_mean in print(stanfit)

Modeling
1

Hi,
How are the standard errors for posterior means (se_mean in print(stanfit)) computed please?
I couldn’t find the formula in the manual.
Thank you very much!

2 Likes
2

It should just be the estimated standard deviation of a parameter divided by the square root of the number of effective samples (for cmdstan: https://github.com/stan-dev/cmdstan/blob/develop/src/cmdstan/stansummary.cpp#L119). That answer your question?

There’s a fair bit of machinery that goes into estimating n_eff itself, so it’s kind of tricky.

3 Likes
3

That should be documented, but isn’t, in the MCMC chapter. I’ll add it next time:

4

Hi,Now I have some questions about the se_mean and the sd when print the stanfit, Could you give me some advices. And now I have the Least squares model and using stan mpdel to estimate the parameters,I want to compare the performance of the two models, but now there are some questions about the choice of evaluation indicators. I hope that you can give me some suggestions.Thank you very much.