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Perfect simulation for models of industry dynamics

Kamihigashi, Takashi; Stachurski, John

Description

In this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploit the regenerative property of the process in order to achieve rapid coupling.

dc.contributor.authorKamihigashi, Takashi
dc.contributor.authorStachurski, John
dc.date.accessioned2015-05-26T03:04:33Z
dc.date.available2015-05-26T03:04:33Z
dc.identifier.issn0304-4068
dc.identifier.urihttp://hdl.handle.net/1885/13587
dc.description.abstractIn this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploit the regenerative property of the process in order to achieve rapid coupling.
dc.format6 pages
dc.publisherElsevier
dc.rights© 2014 Elsevier B.V. http://www.sherpa.ac.uk/romeo/issn/0304-4068/Author can archive post-print (ie final draft post-refereeing) after an embargo period of 36 months. (Sherpa/Romeo as of 8/9/2015).
dc.sourceJournal of Mathematical Economics
dc.subjectRegeneration
dc.subjectSimulation
dc.subjectCoupling from the past
dc.subjectPerfect sampling
dc.titlePerfect simulation for models of industry dynamics
dc.typeJournal article
local.identifier.citationvolume56
dcterms.dateAccepted2014-11-24
dc.date.issued2015-01
local.identifier.absfor140104 - Microeconomic Theory
local.identifier.ariespublicationa383154xPUB945
local.publisher.urlhttp://www.elsevier.com/
local.type.statusAccepted Version
local.contributor.affiliationStachurski, John, Research School of Economics (RSEcon), College of Business and Economics, The Australian National University
local.description.embargo2018-02-01
local.bibliographicCitation.issueJan 2015
local.bibliographicCitation.startpage9
local.bibliographicCitation.lastpage14
local.identifier.doi10.1016/j.jmateco.2014.11.004
local.identifier.absseo910203 - Industrial Organisations
dc.date.updated2015-12-10T09:40:07Z
local.identifier.scopusID2-s2.0-84922347388
CollectionsANU Research Publications

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