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Density estimators through Zero Variance Markov Chain Monte Carlo


  • Antonietta Mira

    () (Department of Economics, University of Insubria, Italy)

  • Daniele Imparato

    () (Department of Economics, University of Insubria, Italy)


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.

Suggested Citation

  • Antonietta Mira & Daniele Imparato, 2011. "Density estimators through Zero Variance Markov Chain Monte Carlo," Economics and Quantitative Methods qf1108, Department of Economics, University of Insubria.
  • Handle: RePEc:ins:quaeco:qf1108

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    Density estimator; Fundamental solution; MCMC simulation;

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