Perfect simulation for models of industry dynamics

In this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploit the regenerative property of the process in order to achieve rapid coupling.

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Year of publication:	2015
Authors:	Kamihigashi, Takashi ; Stachurski, John
Published in:	Journal of Mathematical Economics. - Elsevier, ISSN 0304-4068. - Vol. 56.2015, C, p. 9-14
Publisher:	Elsevier
Subject:	Regeneration \| Simulation \| Coupling from the past \| Perfect sampling

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011191164