Rao-Blackwellization in the MCMC era
Computation
2021-01-05 v1 Statistics Theory
Statistics Theory
Abstract
Rao-Blackwellization is a notion often occurring in the MCMC literature, with possibly different meanings and connections with the original Rao--Blackwell theorem (Rao, 1945 and Blackwell,1947), including a reduction of the variance of the resulting Monte Carlo approximations. This survey reviews some of the meanings of the term.
Cite
@article{arxiv.2101.01011,
title = {Rao-Blackwellization in the MCMC era},
author = {Christian P. Robert and Gareth O. Roberts},
journal= {arXiv preprint arXiv:2101.01011},
year = {2021}
}
Comments
This paper is to appear in The International Statistical Review