Exact Sampling for Industry Dynamics and Other Regenerative Processes

In this paper we introduce a technique for perfect sampling from the stationary distribution of possibly non-monotone regenerative processes, such as those that describe industry dynamics (where regeneration corresponds to the process of exit of firms and entry of new ones). The algorithm we propose is a version of coupling from the past that is straightforward to implement, and that exploits the regenerative property of the process in order to achieve rapid coupling.

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Year of publication:	2013-11
Authors:	Kamihigashi, Takashi ; Stachurski, John
Institutions:	Research Institute for Economics and Business Administration, Kobe University
Subject:	Regeneration \| rejuvenation \| simulation \| coupling from the past \| perfect sampling

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Extent:	application/pdf
Series:	Discussion Paper Series. - ISSN 1345-2207.
Type of publication:	Book / Working Paper
Notes:	Number DP2013-37 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010822755