mcse (se_mean)
Quick definition
The standard error of the mean of the posterior draws (not to be confused
with the standard deviation of the posterior draws) is the uncertainty
associated with the Monte Carlo approximation. This quantity approaches 0 as
the sample size goes to infinity, whereas the standard deviation of the posterior
draws approaches the standard deviation of the posterior distribution.
More deftails
When estimating a mean based on a sample of \(M\) independent draws, the
estimation error is proportional to \(1/M\). If the draws are positively
correlated, as they typically are when drawn using MCMC methods, the error
is proportional to \(1/\sqrt{n_{eff}}\) where \(n_{eff}\) is
the effective sample size. Thus it is standard practice to also monitor
(an estimate of) the effective sample size until it is large enough for
the estimation or inference task at hand.