IDEAS home Printed from https://ideas.repec.org/p/ins/quaeco/qf1108.html
   My bibliography  Save this paper

Density estimators through Zero Variance Markov Chain Monte Carlo

Author

Listed:
  • Antonietta Mira

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

  • Daniele Imparato

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

Abstract

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
    as

    Download full text from publisher

    File URL: http://eco.uninsubria.it/dipeco/Quaderni/files/QF2011_08.pdf
    Download Restriction: no

    More about this item

    Keywords

    Density estimator; Fundamental solution; MCMC simulation;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf1108. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento). General contact details of provider: http://edirc.repec.org/data/feinsit.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.