Generalized Look-Ahead Methods for Computing Stationary Densities
-
Altmetric Citations
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.author | Braun, R Anton | |
---|---|---|
dc.contributor.author | Li, Huiyu | |
dc.contributor.author | Stachurski, John | |
dc.date.accessioned | 2015-12-08T22:27:06Z | |
dc.identifier.issn | 0364-765x | |
dc.identifier.uri | http://hdl.handle.net/1885/33925 | |
dc.description.abstract | 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.publisher | Institute for Operations Research and the Management Sciences (INFORMS) | |
dc.source | Mathematics of Operations Research | |
dc.subject | Keywords: 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.title | Generalized Look-Ahead Methods for Computing Stationary Densities | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.identifier.citationvolume | 37 | |
dc.date.issued | 2012 | |
local.identifier.absfor | 140302 - Econometric and Statistical Methods | |
local.identifier.ariespublication | u4602557xPUB107 | |
local.type.status | Published Version | |
local.contributor.affiliation | Braun, R Anton, Federal Reserve Bank of Atlanta | |
local.contributor.affiliation | Li, Huiyu, Stanford University | |
local.contributor.affiliation | Stachurski, John, College of Business and Economics, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.issue | 3 (Aug 2012) | |
local.bibliographicCitation.startpage | 489 | |
local.bibliographicCitation.lastpage | 500 | |
local.identifier.doi | 10.1287/moor.1120.0547 | |
local.identifier.absseo | 970114 - Expanding Knowledge in Economics | |
dc.date.updated | 2016-02-24T11:12:32Z | |
local.identifier.scopusID | 2-s2.0-84866688664 | |
local.identifier.thomsonID | 000307611300006 | |
Collections | ANU Research Publications |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
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 |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator