Statistical Science

Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?

James M. Flegal, Murali Haran, and Galin L. Jones

Full-text: Open access

Abstract

Current reporting of results based on Markov chain Monte Carlo computations could be improved. In particular, a measure of the accuracy of the resulting estimates is rarely reported. Thus we have little ability to objectively assess the quality of the reported estimates. We address this issue in that we discuss why Monte Carlo standard errors are important, how they can be easily calculated in Markov chain Monte Carlo and how they can be used to decide when to stop the simulation. We compare their use to a popular alternative in the context of two examples.

Article information

Source
Statist. Sci. Volume 23, Number 2 (2008), 250-260.

Dates
First available in Project Euclid: 21 August 2008

Permanent link to this document
http://projecteuclid.org/euclid.ss/1219339116

Digital Object Identifier
doi:10.1214/08-STS257

Mathematical Reviews number (MathSciNet)
MR2516823

Citation

Flegal, James M.; Haran, Murali; Jones, Galin L. Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?. Statistical Science 23 (2008), no. 2, 250--260. doi:10.1214/08-STS257. http://projecteuclid.org/euclid.ss/1219339116.


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