Density estimators through Zero Variance Markov Chain Monte Carlo

A Markov Chain Monte Carlo method is proposed for the pointwise evaluation of a density whose normalizing constant is not known. This method was introduced in the physics literature by Assaraf et al (2007). Conditions for unbiasedness of the estimator are derived. A central limit theorem is also proved under regularity conditions. The new idea is tested on some toy-examples.

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Year of publication:	2011-03
Authors:	Mira, Antonietta ; Imparato, Daniele
Institutions:	Facoltà di Economia, Università degli Studi dell'Insubria
Subject:	Density estimator \| Fundamental solution \| MCMC simulation

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Extent:	application/pdf
Series:	Economics and Quantitative Methods.
Type of publication:	Book / Working Paper
Language:	English
Notes:	14 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868144