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.
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- John Stachurski, 2005.
"Computing the Distributions of Economic Models Via Simulation,"
Department of Economics - Working Papers Series
949, The University of Melbourne.
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- Takashi Kamihigashi, 2005.
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Discussion Paper Series
176, Research Institute for Economics & Business Administration, Kobe University.
- Kamihigashi, Takashi, 2007. "Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 477-500, April.
- Takashi Kamihigashi, 2006. "Stochastic Optimal Growth with Bounded or Unbounded Utility and with Bounded or Unbounded Shocks," Discussion Paper Series 189, Research Institute for Economics & Business Administration, Kobe University.
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