Journal
STATISTICAL SCIENCE
Volume 23, Issue 2, Pages 250-260Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/08-STS257
Keywords
convergence diagnostic; Markov chain; Monte Carlo; standard errors
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Funding
- NSF [DMS-08-06178]
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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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