Rao–Blackwellisation in the Markov Chain Monte Carlo Era

Christian P. Robert; Gareth Roberts

doi:10.1111/insr.12463

journal article Jul 26, 2021

Rao–Blackwellisation in the Markov Chain Monte Carlo Era

Christian P. Robert

Gareth Roberts

International Statistical Review / Revue Internationale de Statistique Vol. 89 No. 2 pp. 237-249 · JSTOR

View at Publisher Save 10.1111/insr.12463

Abstract

SummaryRao–Blackwellisation is a notion often occurring in the MCMC literature, with possibly different meanings and connections with the original Rao–Blackwell theorem as established by C.R. Rao in 1945 and D. Blackwell in 1947, including a reduction of the variance of the resulting Monte Carlo approximations. This survey reviews some of the meanings of the term.

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Details

Published: Jul 26, 2021
Vol/Issue: 89(2)
Pages: 237-249
License: View

Authors

C

Christian P. Robert

CEREMADE Université Paris Dauphine PSL Paris France; CREST‐ENSAE Paris France

G

Gareth Roberts

Department of Statistics University of Warwick Coventry UK

Cite This Article

Christian P. Robert, Gareth Roberts (2021). Rao–Blackwellisation in the Markov Chain Monte Carlo Era. International Statistical Review / Revue Internationale de Statistique, 89(2), 237-249. https://doi.org/10.1111/insr.12463

Rao–Blackwellisation in the Markov Chain Monte Carlo Era

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