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Abstract: Casella and Robert Biometrika 83 1996 81-94 presented a generalRao-Blackwellization principle for accept-reject and Metropolis-Hastingsschemes that leads to significant decreases in the variance of the resultingestimators, but at a high cost in computation and storage. Adopting acompletely different perspective, we introduce instead a universal scheme thatguarantees variance reductions in all Metropolis-Hastings-based estimatorswhile keeping the computation cost under control. We establish a central limittheorem for the improved estimators and illustrate their performances on toyexamples and on a probit model estimation.



Autor: Randal Douc, Christian P. Robert

Fuente: https://arxiv.org/







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