Generalized Look-Ahead Methods for Computing Stationary Densities
The 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.
|Date of creation:||Oct 2011|
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- John Stachurski & Vance Martin, 2008.
"Computing the Distributions of Economic Models via Simulation,"
Econometric Society, vol. 76(2), pages 443-450, 03.
- John Stachurski, 2005. "Computing the Distributions of Economic Models Via Simulation," Department of Economics - Working Papers Series 949, The University of Melbourne.
- John Stachurski, 2006. "Computing the Distributions of Economic Models Via Simulation," KIER Working Papers 615, Kyoto University, Institute of Economic Research.
- John Stachurski & University of Melbourne, 2006. "Computing the Distributions of Economic Models via Simulation," Computing in Economics and Finance 2006 185, Society for Computational Economics.
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- Takashi Kamihigashi, 2005. "Stochastic Optimal Growth with Bounded or Unbounded Utility and with Bounded or Unbounded Shocks," Discussion Paper Series 176, Research Institute for Economics & Business Administration, Kobe University.
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- Shane G. Henderson & Peter W. Glynn, 2001. "Computing Densities for Markov Chains via Simulation," Mathematics of Operations Research, INFORMS, vol. 26(2), pages 375-400, May.
- Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
- Chen, Xiaohong & White, Halbert, 1998. "Central Limit And Functional Central Limit Theorems For Hilbert-Valued Dependent Heterogeneous Arrays With Applications," Econometric Theory, Cambridge University Press, vol. 14(02), pages 260-284, April.
- Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 375-400. Full references (including those not matched with items on IDEAS)
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