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May 2008 Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?
James M. Flegal, Murali Haran, Galin L. Jones
Statist. Sci. 23(2): 250-260 (May 2008). DOI: 10.1214/08-STS257


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.


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James M. Flegal. Murali Haran. Galin L. Jones. "Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?." Statist. Sci. 23 (2) 250 - 260, May 2008.


Published: May 2008
First available in Project Euclid: 21 August 2008

zbMATH: 1327.62017
MathSciNet: MR2516823
Digital Object Identifier: 10.1214/08-STS257

Keywords: Convergence diagnostic , Markov chain , Monte Carlo , standard errors

Rights: Copyright © 2008 Institute of Mathematical Statistics


Vol.23 • No. 2 • May 2008
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