Rao–Blackwellisation in the Markov Chain Monte Carlo Era

Christian P. Robert and Gareth Roberts

International Statistical Review, 2021, vol. 89, issue 2, 237-249

Abstract: 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.

Date: 2021
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