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Activity Number:
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222
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Type:
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Topic Contributed
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Date/Time:
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Tuesday, August 5, 2008 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #300664 |
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Title:
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Markov Chain Monte Carlo: Can We Trust the Third Significant Figure?
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Author(s):
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Galin Jones*+ and Murali Haran and James Flegal
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Companies:
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The University of Minnesota and The Pennsylvania State University and The University of Minnesota
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Address:
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School of Statistics, Minneapolis, MN, 55455,
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Keywords:
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Convergence Diagnostic ; Markov Chain ; Monte Carlo ; Standard Errors
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Abstract:
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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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