Rao-Blackwellization in the MCMC era

01/04/2021
by   Christian P. Robert, et al.
0

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.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset