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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.

dc.contributor.authorBraun, R Anton
dc.contributor.authorLi, Huiyu
dc.contributor.authorStachurski, John
dc.date.accessioned2015-12-08T22:27:06Z
dc.identifier.issn0364-765x
dc.identifier.urihttp://hdl.handle.net/1885/33925
dc.description.abstractThe 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.
dc.publisherInstitute for Operations Research and the Management Sciences (INFORMS)
dc.sourceMathematics of Operations Research
dc.subjectKeywords: Asymptotic normality; Asymptotic theories; Convergence rates; Look-ahead; Look-ahead methods; Simulation; Density (specific gravity); Markov processes; Numerical methods; Estimation Densities; Numerical methods; Simulation
dc.titleGeneralized Look-Ahead Methods for Computing Stationary Densities
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume37
dc.date.issued2012
local.identifier.absfor140302 - Econometric and Statistical Methods
local.identifier.ariespublicationu4602557xPUB107
local.type.statusPublished Version
local.contributor.affiliationBraun, R Anton, Federal Reserve Bank of Atlanta
local.contributor.affiliationLi, Huiyu, Stanford University
local.contributor.affiliationStachurski, John, College of Business and Economics, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.issue3 (Aug 2012)
local.bibliographicCitation.startpage489
local.bibliographicCitation.lastpage500
local.identifier.doi10.1287/moor.1120.0547
local.identifier.absseo970114 - Expanding Knowledge in Economics
dc.date.updated2016-02-24T11:12:32Z
local.identifier.scopusID2-s2.0-84866688664
local.identifier.thomsonID000307611300006
CollectionsANU Research Publications

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