Computing the Distributions of Economic Models via Simulation

We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and O(n^(1/2)) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. Copyright The Econometric Society 2008.

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Year of publication:	2008
Authors:	Stachurski, John ; Martin, Vance
Published in:	Econometrica. - Econometric Society. - Vol. 76.2008, 2, p. 443-450
Publisher:	Econometric Society

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005702501