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Computing the Distributions of Economic Models via Simulation

Date

Authors

Stachurski, John

Martin, Vance L

Publisher

Blackwell Publishing Ltd

Abstract

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.

Keywords

Keywords: Ergodicity; Markov processes; Numerical methods; Simulation

URI

http://hdl.handle.net/1885/29229

Collections

ANU Research Publications

Source

Econometrica

Type

Journal article

DOI

10.1111/j.0012-9682.2008.00839.x

Restricted until

2037-12-31

Downloads

File

Description

01_Stachurski_Computing_the_Distributions_of_2008.pdf (112.13 KB)

02_Stachurski_Computing_the_Distributions_of_2008.pdf (134.52 KB)