Generalized Look-Ahead Methods for Computing Stationary Densities

R. Braun, Huiyu Li and John Stachurski ()

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

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

Pages: 22 Pages
Date: 2011-10
New Economics Papers: this item is included in nep-cis and nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:acb:cbeeco:2011-558

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