**A** few months ago, as indicated on this blog, I was contacted by ISR editors to write a piece on Rao-Blackwellisation, towards a special issue celebrating Calyampudi Radhakrishna Rao’s 100th birthday. Gareth Roberts and I came up with this survey, now on arXiv, discussing different aspects of Monte Carlo and Markov Chain Monte Carlo that pertained to Rao-Blackwellisation, one way or another. As I discussed the topic with several friends over the Fall, it appeared that the difficulty was more in setting the boundaries. Than in finding connections. In a way anything conditioning or demarginalising or resorting to auxiliary variates is a form of Rao-Blackwellisation. When re-reading the JASA Gelfand and Smith 1990 paper where I first saw the link between the Rao-Blackwell theorem and simulation, I realised my memory of it had drifted from the original, since the authors proposed there an approximation of the marginal based on replicas rather than the original Markov chain. Being much closer to Tanner and Wong (1987) than I thought. It is only later that the true notion took shape. *[Since the current version is still a draft, any comment or suggestion would be most welcomed!]*

## Archive for Rao-Blackwell theorem

## Rao-Blackwellisation in the MCMC era

Posted in Books, Statistics, University life with tags auxiliary variables, birthday, C.R. Rao, conditioning, David Blackwell, demarginalisation, International Statistical Review, MCMC, Monte Carlo Statistical Methods, Rao-Blackwell theorem, Rao-Blackwellisation on January 6, 2021 by xi'an## Rao-Blackwellisation, a review in the making

Posted in Statistics with tags Andrei Kolmogorov, birthday, C.R. Rao, computational statistics, David Blackwell, Monte Carlo methods, Purdue University, Rao-Blackwell theorem, Rao-Blackwellisation, review, survey on March 17, 2020 by xi'an**R**ecently, I have been contacted by a mainstream statistics journal to write a review of Rao-Blackwellisation techniques in computational statistics, in connection with an issue celebrating C.R. Rao’s 100th birthday. As many many techniques can be interpreted as weak forms of Rao-Blackwellisation, as e.g. all auxiliary variable approaches, I am clearly facing an abundance of riches and would thus welcome suggestions from Og’s readers on the major advances in Monte Carlo methods that can be connected with the Rao-Blackwell-Kolmogorov theorem. (On the personal and anecdotal side, I only met C.R. Rao once, in 1988, when he came for a seminar at Purdue University where I was spending the year.)

## best unbiased estimator of θ² for a Poisson model

Posted in Books, Kids, pictures, Statistics, Travel, University life with tags Bahamas, best unbiased estimator, complete statistics, counterexample, cross validated, George Forsythe, John von Neumann, Monte Carlo Statistical Methods, Poisson distribution, Rao-Blackwell theorem, sailing, shark, simulation on May 23, 2018 by xi'an**A** mostly traditional question on X validated about the “best” [minimum variance] unbiased estimator of θ² from a Poisson P(θ) sample leads to the Rao-Blackwell solution

and a similar estimator could be constructed for θ³, θ⁴, … With the interesting limitation that this procedure stops at the power equal to the number of observations (minus one?). But, since the expectation of a power of the sufficient statistics S [with distribution P(nθ)] is a polynomial in θ, there is *de facto* no limitation. More interestingly, there is no unbiased estimator of negative powers of θ in this context, while this neat comparison on Wikipedia (borrowed from the great book of counter-examples by Romano and Siegel, 1986, selling for a mere $180 on amazon!) shows why looking for an unbiased estimator of exp(-2θ) is particularly foolish: the only solution is (-1) to the power S [for a single observation]. (There is however a first way to circumvent the difficulty if having access to an arbitrary number of generations from the Poisson, since the Forsythe – von Neuman algorithm allows for an unbiased estimation of exp(-F(x)). And, as a second way, as remarked by Juho Kokkala below, a sample of at least two Poisson observations leads to a more coherent best unbiased estimator.)

## an improvable Rao–Blackwell improvement, inefficient maximum likelihood estimator, and unbiased generalized Bayes estimator

Posted in Books, Statistics, University life with tags best unbiased estimator, complete statistics, maximum likelihood estimation, Pitman best equivariant estimator, R-bloggers, Rao-Blackwell theorem, Stein effect, The American Statistician, uniform distribution on February 2, 2018 by xi'an**I**n my quest (!) for examples of location problems with no UMVU estimator, I came across a neat paper by Tal Galili [of R Bloggers fame!] and Isaac Meilijson presenting somewhat paradoxical properties of classical estimators in the case of a Uniform U((1-k)θ,(1+k)θ) distribution when 0<k<1 is known. For this model, the minimal sufficient statistic is the pair made of the smallest and of the largest observations, L and U. Since this pair is not complete, the Rao-Blackwell theorem does not produce a single and hence optimal estimator. The best linear unbiased combination [in terms of its variance] of L and U is derived in this paper, although this does not produce the uniformly minimum variance unbiased estimator, which does not exist in this case. (And I do not understand the remark that

“Any unbiased estimator that is a function of the minimal sufficient statistic is its own Rao–Blackwell improvement.”

as this hints at an infinite sequence of improvement.) While the MLE is inefficient in this setting, the Pitman [best equivariant] estimator is both Bayes [against the scale Haar measure] and unbiased. While experimentally dominating the above linear combination. The authors also argue that, since “generalized Bayes rules need not be admissible”, there is no guarantee that the Pitman estimator is admissible (under squared error loss). But given that this is a uni-dimensional scale estimation problem I doubt very much there is a Stein effect occurring in this case.

## best unbiased estimators

Posted in Books, Kids, pictures, Statistics, University life with tags best unbiased estimator, complete statistics, cross validated, Erich Lehmann, Lehmann-Scheffé theorem, mathematical statistics, maximum likelihood estimation, Pitman best equivariant estimator, Rao-Blackwell theorem, Sankhya, sufficiency, Theory of Point Estimation, UMVUE on January 18, 2018 by xi'an**A** question that came out on X validated today kept me busy for most of the day! It relates to an earlier question on the best unbiased nature of a maximum likelihood estimator, to which I pointed out the simple case of the Normal variance when the estimate is not unbiased (but improves the mean square error). Here, the question is whether or not the maximum likelihood estimator of a location parameter, when corrected from its bias, is the best unbiased estimator (in the sense of the minimal variance). The question is quite interesting in that it links to the mathematical statistics of the 1950’s, of Charles Stein, Erich Lehmann, Henry Scheffé, and Debabrata Basu. For instance, if there exists a complete sufficient statistic for the problem, then there exists a best unbiased estimator of the location parameter, by virtue of the Lehmann-Scheffé theorem (it is also a consequence of Basu’s theorem). And the existence is pretty limited in that outside the two exponential families with location parameter, there is no other distribution meeting this condition, I believe. However, even if there is no complete sufficient statistic, there may still exist best unbiased estimators, as shown by . But Lehmann and Scheffé in their magisterial 1950 Sankhya paper exhibit a counter-example, namely the U(θ-1,θ-1) distribution:

since no non-constant function of θ allows for a best unbiased estimator.

Looking in particular at the location parameter of a Cauchy distribution, I realised that the Pitman best equivariant estimator is unbiased as well [for all location problems] and hence dominates the (equivariant) maximum likelihood estimator which is unbiased in this symmetric case. However, as detailed in a nice paper of Gabriela Freue on this problem, I further discovered that there is no uniformly minimal variance estimator and no uniformly minimal variance unbiased estimator! (And that the Pitman estimator enjoys a closed form expression, as opposed to the maximum likelihood estimator.) This sounds a bit paradoxical but simply means that there exists different unbiased estimators which variance functions are not ordered and hence not comparable. Between them and with the variance of the Pitman estimator.