Overview
Christian P. Robert is a statistician at Université Paris-Dauphine (formerly Université de Rouen / CREST-INSEE) and has held positions at the University of Warwick. He is one of the leading figures in Bayesian computation and MCMC methodology, known for methodological contributions to Metropolis-Hastings algorithms, importance sampling, and the theoretical analysis of MCMC convergence.
Key Contributions
- "Rao-Blackwellisation of Sampling Schemes" (1996) (with George Casella): Post-simulation improvement for Accept-Reject and Metropolis estimators by integrating out ancillary uniform variables; O(n²) recurrence; 15–60% MSE reduction; demonstrated superiority of RB importance sampling over RB Metropolis.
- The Bayesian Choice (1994, 2001): textbook on Bayesian decision theory and computation.
- Monte Carlo Statistical Methods (1999, 2004, with Casella): standard reference for Monte Carlo methods.
Related