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Autori
Mira, Antonietta
Imparato, Daniele

Titolo
Density estimators through Zero Variance Markov Chain Monte Carlo
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2011 - Fascicolo: 8 - Pagina iniziale: 1 - Pagina finale: 12

A Markov Chain Monte Carlo method is proposed for the point-wise 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.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2011_08.pdf

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