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arXiv · 2101.01011

Rao-Blackwellization in the MCMC era

Christian P. Robert·Gareth O. Roberts
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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.

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Christian P. Robert, Gareth O. Roberts. 2021-01-04. Rao-Blackwellization in the MCMC era. https://arxiv.org/abs/2101.01011

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