Pierre Jacob and Alexandre Thiéry just arXived a highly pertinent paper on the most debated issue of non-negative unbiased estimators (of positive quantities). If you remember that earlier post of mine, I mentioned the issue in connection with the Russian roulette estimator(s) of Mark Girolami et al. And, as Pierre and Alexandre point out in the paper, there is also a clear and direct connection with the Bernoulli factory problem. And with our Vanilla Rao-Blackwellisation technique (sadly overlooked, once more!).
The first thing I learned from the paper is how to turn a converging sequence into an unbiased estimator. If (En) is this converging sequence, with limit μ, then
is unbiased..! Amazing. Even though the choice of the distribution of N matters towards getting a finite variance estimator, this transform is simply amazing. (Of course, once one looks at it, one realises it is the “old” trick of turning a series into a sequence and vice-versa. Still…!) And then you can reuse it into getting an unbiased estimator for almost any transform of μ.
The second novel thing in the paper is the characterisation of impossible cases for non-negative unbiased estimators. For instance, if the original sequence has an unbounded support, there cannot be such an estimator. If the support is an half-line, the transform must be monotonous monotonic. If the support is a bounded interval (a,b), then the transform must be bounded from below by a polynomial bound
(where the extra-parameters obviously relate to the transform). (In this later case, the authors also show how to derive a Bernoulli estimator from the original unbiased estimator.)
Mark Girolami came on Monday for a short visit at CREST this week, to discuss further 
