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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)

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    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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    Paper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf1108.

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    Length: 14 pages
    Date of creation: Mar 2011
    Date of revision:
    Handle: RePEc:ins:quaeco:qf1108
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