Rao–Blackwellisation in the Markov Chain Monte Carlo Era

Christian Robert (1) , Gareth Roberts (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 Department of Statistics [Warwick]

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.

Domaines: Statistiques [stat]; Modélisation et simulation

Christian Robert, Gareth Roberts. Rao–Blackwellisation in the Markov Chain Monte Carlo Era. International Statistical Review, 2021, 89 (2), pp.237-249. ⟨10.1111/insr.12463⟩. ⟨hal-03912172⟩