Rao-Blackwellization of Particle Markov Chain Monte Carlo Methods Using Forward Filtering Backward Sampling

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Control functionals for Monte Carlo integration (2014, background): “…(RQMC) sampling (Dick and Pillichshammer, 2010), (d) Rao–Blackwellization (Robert and Casella, 2004; Douc and Robert, 2011; Ghosh and Clyde, 2011; Olsson and Ryden, 2011), (e) Riemann sums (Philippe, 1997), (f) control variates (Glasserman, 2004; Mira et al., 2013; Li et al., 2016), (g)…”
Particle gibbs with ancestor sampling (2014, background): “For improved readability we provide the complete proof, though it should be noted that the main part is due to Olsson and Rydén (2011).”