Premium
Rao–Blackwellisation in the Markov Chain Monte Carlo Era
Author(s) -
Robert Christian P.,
Roberts Gareth
Publication year - 2021
Publication title -
international statistical review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.051
H-Index - 54
eISSN - 1751-5823
pISSN - 0306-7734
DOI - 10.1111/insr.12463
Subject(s) - markov chain monte carlo , variance (accounting) , monte carlo method , variance reduction , markov chain , mathematics , statistical physics , econometrics , term (time) , statistics , mathematical economics , economics , physics , accounting , quantum mechanics
Summary Rao–Blackwellisation is a notion often occurring in the MCMC literature, with possibly different meanings and connections with the original Rao–Blackwell theorem as established by C.R. Rao in 1945 and D. Blackwell in 1947, including a reduction of the variance of the resulting Monte Carlo approximations. This survey reviews some of the meanings of the term.