A vanilla Rao--Blackwellization of Metropolis--Hastings algorithms

  title={A vanilla Rao--Blackwellization of Metropolis--Hastings algorithms},
  author={R. Douc and C. Robert},
  journal={Annals of Statistics},
  • R. Douc, C. Robert
  • Published 2011
  • Mathematics
  • Annals of Statistics
  • Casella and Robert (1996) presented a general Rao--Blackwellisation principle for accept-reject and Metropolis-Hastings schemes that leads to significant decreases in the variance of the resulting estimators, but at a high cost in computing and storage. Adopting a completely different perspective, we introduce instead a universal scheme that guarantees variance reductions in all Metropolis-Hastings~based estimators while keeping the computing cost under control. We establish a central limit… CONTINUE READING
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