Markov chain Monte Carlo: can we trust the third significant figure?
From MaRDI portal
Publication:900463
DOI10.1214/08-STS257zbMATH Open1327.62017arXivmath/0703746WikidataQ121691093 ScholiaQ121691093MaRDI QIDQ900463FDOQ900463
Authors: James M. Flegal, Murali Haran, Galin L. Jones 
Publication date: 22 December 2015
Published in: Statistical Science (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/math/0703746
Recommendations
Cites Work
- Inference from iterative simulation using multiple sequences
- Markov chains for exploring posterior distributions. (With discussion)
- Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
- Title not available (Why is that?)
- Title not available (Why is that?)
- Monte Carlo methods in Bayesian computation
- Efficiency and Convergence Properties of Slice Samplers
- Monte Carlo strategies in scientific computing
- Title not available (Why is that?)
- Geometric ergodicity of Metropolis algorithms
- Title not available (Why is that?)
- Markov chains and stochastic stability
- General state space Markov chains and MCMC algorithms
- On the Markov chain central limit theorem
- Geometric ergodicity of Gibbs and block Gibbs samplers for a hierarchical random effects model
- Polynomial convergence rates of Markov chains
- Sufficient burn-in for Gibbs samplers for a hierarchical random effects model.
- Rates of convergence of the Hastings and Metropolis algorithms
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
- Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference
- Computable bounds for geometric convergence rates of Markov chains
- Simulation Output Analysis Using Standardized Time Series
- Title not available (Why is that?)
- Estimating the asymptotic variance with batch means
- The asymptotic validity of sequential stopping rules for stochastic simulations
- Honest exploration of intractable probability distributions via Markov chain Monte Carlo.
- Convergence control methods for Markov chain Monte Carlo algorithms
- Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalized linear mixed models
- Polynomial ergodicity of Markov transition kernels.
- Title not available (Why is that?)
- Regeneration in Markov Chain Samplers
- Convergence of Slice Sampler Markov Chains
- Title not available (Why is that?)
- Geometric Ergodicity of van Dyk and Meng's Algorithm for the Multivariate Student'stModel
- Practical drift conditions for subgeometric rates of convergence.
- \(V\)-subgeometric ergodicity for a Hastings-Metropolis algorithm
- Estimating the risk of a crop epidemic from coincident spatio-temporal processes
- The Reporting of Computation-Based Results in Statistics
- Possible biases induced by mcmc convergence diagnostics
Cited In (only showing first 100 items - show all)
- Analysis of MCMC algorithms for Bayesian linear regression with Laplace errors
- An attraction–repulsion point process model for respiratory syncytial virus infections
- Improving the convergence properties of the data augmentation algorithm with an application to Bayesian mixture modeling
- Geometric ergodicity of the Gibbs sampler for Bayesian quantile regression
- Convergence of conditional Metropolis-Hastings samplers
- The quantile probability model
- A comparative evaluation of stochastic-based inference methods for Gaussian process models
- Restricted spatial regression in practice: geostatistical models, confounding, and robustness under model misspecification
- The Number of MCMC Draws Needed to Compute Bayesian Credible Bounds
- A new multivariate measurement error model with zero-inflated dietary data, and its application to dietary assessment
- Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
- Weighted batch means estimators in Markov chain Monte Carlo
- Limitations and performance of three approaches to Bayesian inference for Gaussian copula regression models of discrete data
- Spatial factor modeling: A Bayesian matrix‐normal approach for misaligned data
- Dimension free convergence rates for Gibbs samplers for Bayesian linear mixed models
- A spatially varying stochastic differential equation model for animal movement
- Spatial Bayesian variable selection models on functional magnetic resonance imaging time-series data
- Gibbs sampling for a Bayesian hierarchical general linear model
- A stopping rule for symbolic dynamic filtering
- Bayesian spatiotemporal modeling using hierarchical spatial priors, with applications to functional magnetic resonance imaging (with discussion)
- Sampling errors in nested sampling parameter estimation
- Distributional validation of precipitation data products with spatially varying mixture models
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
- Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
- Modeling collective animal movement through interactions in behavioral states
- Batch means and spectral variance estimators in Markov chain Monte Carlo
- Optimal scaling of random-walk Metropolis algorithms on general target distributions
- Latent spatial models and sampling design for landscape genetics
- Climate projections using Bayesian model averaging and space-time dependence
- Batch size selection for variance estimators in MCMC
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Bayesian analysis of circular distributions based on non-negative trigonometric sums
- Bayesian variable selection for finite mixture model of linear regressions
- On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors
- Fixed-Width Output Analysis for Markov Chain Monte Carlo
- A tutorial on Bayesian models of perception
- Implementing MCMC: estimating with confidence
- Sklar's Omega: A Gaussian Copula-Based Framework for Assessing Agreement
- Hierarchical multispectral galaxy decomposition using a MCMC algorithm with multiple temperature simulated annealing
- A Computationally Efficient Projection-Based Approach for Spatial Generalized Linear Mixed Models
- Comment: ``Gibbs sampling, exponential families, and orthogonal polynomials
- Geometric ergodicity of a more efficient conditional Metropolis-Hastings algorithm
- Dynamic models of animal movement with spatial point process interactions
- A compartmental model for meningitis: separating transmission from climate effects on disease incidence
- Gibbs sampling methods for Bayesian quantile regression
- Convergence rates for MCMC algorithms for a robust Bayesian binary regression model
- Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models
- Quantifying uncertainty in parameter estimates for stochastic models of collective cell spreading using approximate Bayesian computation
- Multivariate initial sequence estimators in Markov chain Monte Carlo
- A Hellinger distance approach to MCMC diagnostics
- Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
- Geometric ergodicity of the Bayesian Lasso
- A spatio-temporal model for mountain pine beetle damage
- Agent-based inference for animal movement and selection
- Convergence analysis of the Gibbs sampler for Bayesian general linear mixed models with improper priors
- Markov chain Monte Carlo estimation of quantiles
- Bayesian Inference in the Presence of Intractable Normalizing Functions
- Improving crop model inference through Bayesian melding with spatially varying parameters
- Revisiting the Gelman-Rubin diagnostic
- On a signal detection approach to \(m\)-alternative forced choice with bias, with maximum likelihood and Bayesian approaches to estimation
- Pre-surgical fMRI data analysis using a spatially adaptive conditionally autoregressive model
- Estimating the risk of a crop epidemic from coincident spatio-temporal processes
- Exact sampling for intractable probability distributions via a Bernoulli factory
- Fast Monte Carlo Markov chains for Bayesian shrinkage models with random effects
- Trace-class Monte Carlo Markov chains for Bayesian multivariate linear regression with non-Gaussian errors
- Applicability of subsampling bootstrap methods in Markov chain Monte Carlo
- An MCMC approach to empirical Bayes inference and Bayesian sensitivity analysis via empirical processes
- Accelerating Markov chain Monte Carlo with active subspaces
- The Pólya-gamma Gibbs sampler for Bayesian logistic regression is uniformly ergodic
- Title not available (Why is that?)
- A comparison of Bayesian Markov chain Monte Carlo methods in a multilevel scenario
- Bayesian model selection for high-dimensional Ising models, with applications to educational data
- Reduced-Dimensional Monte Carlo Maximum Likelihood for Latent Gaussian Random Field Models
- Convergence rates of two-component MCMC samplers
- A Survey of Reporting Practices of Computer Simulation Studies in Statistical Research
- Analyzing Markov chain Monte Carlo output
- AovBay: an \textsf{R} package for application and visualization of parametric non-parametric and Bayesian ANOVA
- Geometric Ergodicity and Scanning Strategies for Two-Component Gibbs Samplers
- Adaptive multiple importance sampling for Gaussian processes
- Modeling space-time dynamics of aerosols using satellite data and atmospheric transport model output
- Efficient shape-constrained inference for the autocovariance sequence from a reversible Markov chain
- Some models are useful, but how do we know which ones? Towards a unified Bayesian model taxonomy
- Comparisons of three approaches for discrete conditional models
- A Fresh Look at the Running Time Analysis for the Gibbs Sampler
- A Function Emulation Approach for Doubly Intractable Distributions
- The Bayesian simulation study (BASIS) framework for simulation studies in statistical and methodological research
- Determination of correlations in multivariate longitudinal data with modified Cholesky and hypersphere decomposition using Bayesian variable selection approach
- Convergence complexity analysis of Albert and Chib's algorithm for Bayesian probit regression
- Bayesian Survival Analysis of Head and Neck Cancer Data Using Lognormal Model
- Estimating accuracy of the MCMC variance estimator: asymptotic normality for batch means estimators
- A comparative study on high-dimensional bayesian regression with binary predictors
- Function-specific mixing times and concentration away from equilibrium
- Convergence rates of Metropolis-Hastings algorithms
- Joint estimation of Robin coefficient and domain boundary for the Poisson problem
- Ties in one block comparison experiments: a generalization of the Mallows–Bradley–Terry ranking model
- Scalable empirical Bayes inference and Bayesian sensitivity analysis
- Globally Centered Autocovariances in MCMC
- Complexity results for MCMC derived from quantitative bounds
- Hierarchical Bayesian modeling of spatio-temporal area-interaction processes
- On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables
Uses Software
This page was built for publication: Markov chain Monte Carlo: can we trust the third significant figure?
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q900463)
