Vanilla Rao-Blackwellisation accepted
The revision of our Vanilla Rao-Blackwellisation paper has been accepted by the Annals of Statistics as I was leaving for València 9. This is a very good news, indeed! Especially because I came back from València 9 with an idea on how to extend the Rao-Blackwellisation…
Xi'an's Og 
February 18, 2011 at 11:13 am
[…] Vanilla Rao–Blackwellization of Metropolis–Hastings algorithms paper with Randal Douc is now published in Annals of Statistics (Volume 39, Number 1 (2011), pages […]
December 3, 2010 at 9:36 pm
I enjoyed reading this paper. I have just one (rather humorous) question, that has been bothering me for a while. Could you comment on what “vanilla” means (it seems to appear only in the title of the paper)? I have seen this in many papers, and I understand it as “general” or “generic” or “all-purpose” or “universal”… If it is one of the above, why is the term “vanilla” necessary?
December 4, 2010 at 7:25 am
Andy: thanks for the comments! In my [possibly poor] understanding of the term, “vanilla” has in addition to being generic the meaning of being easy. So we meant by this hopefully catchy title that implementing this Rao-Blackwellisation was both always possible [hence generic] and straightforward [hence the vanilla free lunch!] Obviously, the gains brought by a generic straightforward method are not necessarily major, but since the method can always be implemented….
September 23, 2010 at 8:45 am
[…] Chapter 3 (Monte Carlo integration) will include a reference to INLA, the integrated Laplace approximation of Rue, Martinez and Chopin, as well as to our recent vanilla Rao-Blackwellisation paper. […]
August 7, 2010 at 2:01 am
[…] I will give a special seminar in Stanford University this incoming Monday at 4:30, on my recent Annals paper with Randal Douc on “A vanilla Rao-Blackwellisation of Metropolis-Hastings […]