JACOB Pierre, THIERY Alexandre H.
The study is motivated by pseudo-marginal Monte Carlo algorithms that rely on such nonnegative unbiased estimators. These methods allow “exact inference” in intractable models, in the sense that integrals with respect to a target distribution can be estimated without any systematic error, even though the associated probability density function cannot be evaluated pointwise. We discuss the consequences of our results on the applicability of pseudo-marginal algorithms and thus on the possibility of exact inference in intractable models.
JACOB, P. et THIERY, A.H. (2015). On nonnegative unbiased estimators. Annals of Statistics, 43(2).