Generalized Look-Ahead Methods for Computing Stationary Densities

Authors:
R. Anton Braun;Huiyu Li;John Stachurski
Affiliations:
Research Department, Federal Reserve Bank of Atlanta, Atlanta, Georgia;Department of Economics, Graduate School, Stanford University, Stanford, California;Research School of Economics, Australian National University, Canberra, Australia
Venue:
Mathematics of Operations Research
Year:
2012

Citing 2
Cited 0

Computing Densities for Markov Chains via Simulation

Mathematics of Operations Research
Markov Chains and Stochastic Stability

Markov Chains and Stochastic Stability

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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 √n convergence rates for L2 deviation.