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Generalized Look-Ahead Methods for Computing Stationary Densities

Braun, R Anton; Li, Huiyu; Stachurski, John

Description

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 broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established. The L2 asymptotic normality implies pn convergence rates for L2 deviation.

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/33925
Source: Mathematics of Operations Research
DOI: 10.1287/moor.1120.0547

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