Conditioning in Markov chain Monte Carlo

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Abstract

The so-called “Rao-Blackwellized” estimators proposed by Gelfand and Smith do not always reduce variance in Markov chain Monte Carlo when the dependence in the Markov chain is taken into account. An illustrative example is given, and a theorem characterizing the necessary and sufficient condition for such an estimator to always reduce variance is proved. © 1995, American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of North America.

Original languageEnglish
Pages (from-to)148-154
Number of pages7
JournalJournal of Computational and Graphical Statistics
Volume4
Issue number2
DOIs
StatePublished - 1995

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