Variance reduction of estimators arising from Metropolis-Hastings algorithms

DOI10.1007/S11222-012-9331-YzbMath1322.62121OpenAlexW1971541246MaRDI QIDQ746297

Sonia Malefaki, George Iliopoulos

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-012-9331-y

zbMATH Keywords

importance samplingvariance reductionMetropolis-Hastings algorithmweighted estimators

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05)

Related Items (1)

Jump Markov chains and rejection-free Metropolis algorithms

Cites Work

• Unnamed Item
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• On convergence of properly weighted samples to the target distribution
• Practical Markov Chain Monte Carlo
• Statistical Methods in Markov Chains
• Rao-Blackwellisation of sampling schemes
• Monte Carlo sampling methods using Markov chains and their applications

This page was built for publication: Variance reduction of estimators arising from Metropolis-Hastings algorithms