Computing Densities: A Conditional Monte Carlo Estimator
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- Richard Anton Braun & Huiyu Li & John Stachurski, 2009. "Computing Densities: A Conditional Monte Carlo Estimator," CARF F-Series CARF-F-181, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
References listed on IDEAS
- 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.
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"Computing the Distributions of Economic Models via Simulation,"
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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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- Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, vol. 108(2), pages 281-316, June.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
- NEP-ECM-2009-11-27 (Econometrics)
- NEP-ETS-2009-11-27 (Econometric Time Series)
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