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Antithetic Methods for Gibbs Samplers

Abstract:

In this article we propose a modification to the output fromMetropolis-within-Gibbs samplers that can lead to substantial reductions in the variance over standard estimates. The idea is simple: at each time step of the algorithm, introduce an extra sample into the estimate that is negatively correlated with the current sample, the rationale being that this provides a two-sample numerical approximation to a Rao-Blackwellized estimate. As the conditional sampling distribution at each step has a...

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Publication status:
Published

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Publisher copy:
10.1198/jcgs.2009.07065

Authors


Journal:
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume:
18
Issue:
2
Pages:
401-414
Publication date:
2009-06-01
DOI:
EISSN:
1537-2715
ISSN:
1061-8600
Source identifiers:
115988
Language:
English
Keywords:
Pubs id:
pubs:115988
UUID:
uuid:73ff96c3-64c1-4fb4-bde3-0ec53952ff58
Local pid:
pubs:115988
Deposit date:
2012-12-19

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