Estimating errors reliably in Monte Carlo simulations of the Ehrenfest model
Computational Physics
2010-02-05 v1 Statistical Mechanics
High Energy Physics - Lattice
Data Analysis, Statistics and Probability
Abstract
Using the Ehrenfest urn model we illustrate the subtleties of error estimation in Monte Carlo simulations. We discuss how the smooth results of correlated sampling in Markov chains can fool one's perception of the accuracy of the data, and show (via numerical and analytical methods) how to obtain reliable error estimates from correlated samples.
Keywords
Cite
@article{arxiv.0906.0943,
title = {Estimating errors reliably in Monte Carlo simulations of the Ehrenfest model},
author = {Vinay Ambegaokar and Matthias Troyer},
journal= {arXiv preprint arXiv:0906.0943},
year = {2010}
}