Mira, Antonietta; Imparato, Daniele - Facoltà di Economia, Università degli Studi dell'Insubria - 2011
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...