Generalized Look-Ahead Methods for Computing Stationary Densities
AbstractThe look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead estimator to a much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established.
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Bibliographic InfoPaper provided by Australian National University, College of Business and Economics, School of Economics in its series ANU Working Papers in Economics and Econometrics with number 2011-558.
Length: 22 Pages
Date of creation: Oct 2011
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-ECM-2011-10-22 (Econometrics)
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