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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| Length: | 22 Pages |
| Date of creation: | Oct 2011 |
| Date of revision: | |
| Handle: | RePEc:acb:cbeeco:2011-558 |
| Contact details of provider: | Postal: Phone: +61 2 6125 3807 Fax: +61 2 6125 0744 Web page: http://rse.anu.edu.au/Email: More information through EDIRC
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References listed on IDEAS
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