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Subsampling the Gibbs sampler: variance reduction


  • MacEachern, Steven N.
  • Peruggia, Mario


Subsampling the output of a Gibbs sampler in a non-systematic fashion can improve the efficiency of marginal estimators if the subsampling strategy is tied to the actual updates made. We illustrate this point by example, approximation, and asymptotics. The results hold both for random-scan and fixed-scan Gibbs samplers.

Suggested Citation

  • MacEachern, Steven N. & Peruggia, Mario, 2000. "Subsampling the Gibbs sampler: variance reduction," Statistics & Probability Letters, Elsevier, vol. 47(1), pages 91-98, March.
  • Handle: RePEc:eee:stapro:v:47:y:2000:i:1:p:91-98

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    References listed on IDEAS

    1. repec:crs:wpaper:9818 is not listed on IDEAS
    2. Christina Butucea, 1998. "Exact Adaptive Pointwise Estimation on Sobolev Classes of Densities," Working Papers 98-18, Center for Research in Economics and Statistics.
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