Rao-Blackwellization in the MCMC era

Christian P. Robert; Gareth O. Roberts (University of Warwick)

Rao-Blackwellization in the MCMC era

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arxiv 2101.01011 v1 pith:AW76HRLH submitted 2021-01-04 stat.CO math.STstat.TH

Christian P. Robert , Gareth O. Roberts (University of Warwick) This is my paper

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keywords mcmcmeaningsrao-blackwellizationapproximationsblackwellcarloconnectionsdifferent

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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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