Vanilla on-line
The Vanilla Rao–Blackwellization of Metropolis–Hastings algorithms paper with Randal Douc is now published in Annals of Statistics (Volume 39, Number 1 (2011), pages 261-277) and available on-line via the project Euclid. We are currently working with Pierre Jacob on an extension of this idea towards parallelisation…
Xi'an's Og 
September 27, 2011 at 12:12 am
[…] This reminded me (and others) of the Bernoulli factory and of the similar trick we use in the vanilla Rao-Blackwellisation paper with Randal Douc. However, the approach was different in that the authors relied on a nested […]