TY - JOUR
T1 - Conditioning in Markov chain Monte Carlo
AU - Geyer, Charles J
PY - 1995
Y1 - 1995
N2 - 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.
AB - 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.
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U2 - 10.1080/10618600.1995.10474672
DO - 10.1080/10618600.1995.10474672
M3 - Article
SN - 1061-8600
VL - 4
SP - 148
EP - 154
JO - Journal of Computational and Graphical Statistics
JF - Journal of Computational and Graphical Statistics
IS - 2
ER -