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Computing the Distributions of Economic Models via Simulation

Stachurski, John; Martin, Vance L


We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and OP(n-1/2) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation.

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Econometrica
DOI: 10.1111/j.0012-9682.2008.00839.x


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