A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms

DOI10.1214/10-AOS838zbMath1209.62023arXiv0904.2144MaRDI QIDQ2429930

Randal Douc, Christian P. Robert Robert

Publication date: 5 April 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.2144

zbMATH Keywords

probit model; conditioning; central limit theorem; variance reduction; Markov chain Monte Carlo (MCMC)

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62G05: Nonparametric estimation

60F05: Central limit and other weak theorems

62F10: Point estimation

65C40: Numerical analysis or methods applied to Markov chains

62B10: Statistical aspects of information-theoretic topics

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Uses Software

• R
• S-PLUS
• MASS (R)

Cites Work

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• Rao-Blackwellisation of sampling schemes
• Beyond accept-reject sampling