From f9a3eb5209979697343cf1534c3e7b83750f5977 Mon Sep 17 00:00:00 2001
From: Rik Huijzer <rikhuijzer@pm.me>
Date: Sun, 4 Jul 2021 22:14:28 +0200
Subject: [PATCH] Add information on methods for mcse (#16)

---
 src/mcse.jl | 11 +++++++++--
 1 file changed, 9 insertions(+), 2 deletions(-)

diff --git a/src/mcse.jl b/src/mcse.jl
index e222d22..063ab8b 100644
--- a/src/mcse.jl
+++ b/src/mcse.jl
@@ -1,9 +1,16 @@
-#################### Monte Carlo Standard Errors ####################
-
 """
     mcse(x::AbstractVector{<:Real}; method::Symbol=:imse, kwargs...)
 
 Compute the Monte Carlo standard error (MCSE) of samples `x`.
+The optional argument `method` describes how the errors are estimated. Possible options are:
+
+- `:bm` for batch means [^Glynn1991]
+- `:imse` initial monotone sequence estimator [^Geyer1992]
+- `:ipse` initial positive sequence estimator [^Geyer1992]
+
+[^Glynn1991]: Glynn, P. W., & Whitt, W. (1991). Estimating the asymptotic variance with batch means. Operations Research Letters, 10(8), 431-435.
+
+[^Geyer1992]: Geyer, C. J. (1992). Practical Markov Chain Monte Carlo. Statistical Science, 473-483.
 """
 function mcse(x::AbstractVector{<:Real}; method::Symbol=:imse, kwargs...)
     return if method === :bm