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Other quantities of interest that cannot naturally be presented as expectations (i.e., coefficient of variation) can be estimated by standard plug‐in estimation techniques. We focus on estimating the variance–covariance matrix of under

A natural estimator is the sample covariance matrix

The strong law of large numbers and the continuous mapping theorem imply that as . For IID samples, is unbiased, but for MCMC samples under stationarity, is typically biased from below [12]

For MCMC samples, is typically larger than , yielding biased‐from‐below estimation. If obtaining an unbiased estimator of is desirable, a bias correction should be done by estimating Var using methods described in Section 4 .