Rao Blackwellization of Generalized Accept Reject Schemes
نویسندگان
چکیده
This paper extends the accept reject algorithm to allow the pro posal distribution to change at each iteration We rst establish a necessary and su cient condition for this generalized accept reject al gorithm to be valid and then show how the Rao Blackwellization of Casella and Robert can be extended to this setting An impor tant application of these results is to the perfect sampling technique of Fill which is a generalized accept reject algorithm in disguise
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