Rao-Blackwellization in the MCMC era

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.

This paper is to appear in The International Statistical Review

References in corpus (3)

• The pseudo-marginal approach for efficient Monte Carlo computations
• Importance sampling methods for Bayesian discrimination between embedded models
• Control variates and Rao-Blackwellization for deterministic sweep Markov chains