Rao-Blackwellization in the MCMC era

4 Jan 2021  ·  Christian P. Robert, Gareth O. Roberts ·

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.

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Computation Statistics Theory Statistics Theory

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