Density estimators through Zero Variance Markov Chain Monte Carlo

Antonietta Mira () and Daniele Imparato
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Antonietta Mira: Department of Economics, University of Insubria, Italy
Daniele Imparato: Department of Economics, University of Insubria, Italy

Economics and Quantitative Methods from Department of Economics, University of Insubria

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.

Keywords: Density estimator; Fundamental solution; MCMC simulation (search for similar items in EconPapers)
Pages: 14 pages
Date: 2011-03
New Economics Papers: this item is included in nep-ecm
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https://www.eco.uninsubria.it/RePEc/pdf/QF2011_08.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ins:quaeco:qf1108

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