Subsampling MCMC -- an introduction for the survey statistician (Q2316968)

The paper presents the pseudo-marginal approach to subsampling in Markov chain Monte Carlo from the perspective of a survey statistician. Several effective control variates for variance reduction of the likelihood estimator which make subsampling MCMC scalable to large datasets have been reviewed. Methods for correlating the subsamples over the MCMC iterations, ultimately leading to algorithms that allow much more variable likelihood estimators, have also been presented. Much of the focus was given to unbiased estimators of the log-likelihood and methods for bias-correction of the resulting likelihood estimators.