Markov chain Monte Carlo: Can we trust the third significant figure?

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

Research output: Contribution to journalArticlepeer-review

178 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)250-260
Number of pages11
JournalStatistical Science
Volume23
Issue number2
DOIs
StatePublished - 2008

Keywords

  • Convergence diagnostic
  • Markov chain
  • Monte Carlo
  • Standard errors

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