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

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

2007-03-26

arxiv.org/abs/math/0703746v5

Statistical Science 2008, Vol. 23, No. 2, 250-260

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.1214/08-STS257 the Statistical Science (http://www.imstat.org/sts/) by the Institute of M

Scientific paper

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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