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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