Density estimators through Zero Variance Markov Chain Monte Carlo
AbstractA 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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Bibliographic InfoPaper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf1108.
Length: 14 pages
Date of creation: Mar 2011
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Density estimator; Fundamental solution; MCMC simulation;
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