Rao-Blackwellization in the MCMC era
arXiv:2101.01011
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.
arXiv commentThis paper is to appear in The International Statistical Review
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