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

Markov chain Monte Carlo: can we trust the third significant figure? (English) Zbl 1327.62017

Stat. Sci. 23, No. 2, 250-260 (2008).
Summary: 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.

Cited in 105 Documents

MSC:

62-07 Data analysis (statistics) (MSC2010)
65C60 Computational problems in statistics (MSC2010)
65C05 Monte Carlo methods

Keywords:

convergence diagnostic; Markov chain; Monte Carlo; standard errors

Software:

R; spBayes; BayesDA; RngSteam
PDFBibTeX XMLCite
\textit{J. M. Flegal} et al., Stat. Sci. 23, No. 2, 250--260 (2008; Zbl 1327.62017)
Full Text: DOI arXiv Euclid

References:

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