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 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.
|Collections||ANU Research Publications|
|Source:||Mathematics of Operations Research|
|01_Braun_Generalized_Look-Ahead_Methods_2012.pdf||245.73 kB||Adobe PDF||Request a copy|
|02_Braun_Generalized_Look-Ahead_Methods_2012.pdf||255.27 kB||Adobe PDF||Request a copy|
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