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Article Dans Une Revue Annals of Statistics Année : 2011

A vanilla Rao–Blackwellization of Metropolis–Hastings algorithms

Résumé

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 theorems for the improved estimators and illustrate their performances on toy examples.
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Dates et versions

hal-00375377 , version 1 (14-04-2009)

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Randal Douc, Christian Robert. A vanilla Rao–Blackwellization of Metropolis–Hastings algorithms. Annals of Statistics, 2011, 39 (1), pp.261-277. ⟨10.1214/10-AOS838⟩. ⟨hal-00375377⟩
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