Generalized Look-Ahead Methods for Computing Stationary Densities

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 much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established.

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Year of publication:	2011-10
Authors:	Braun, R. Anton ; Li, Huiyu ; Stachurski, John
Institutions:	College of Business and Economics, Australian National University

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Extent:	application/pdf
Series:	ANU Working Papers in Economics and Econometrics.
Type of publication:	Book / Working Paper
Notes:	22 pages longPages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009323811