Exact Sampling for Industry Dynamics and Other Regenerative Processes

Takashi Kamihigashi and John Stachurski
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John Stachurski: Research School of Economics, Australian National University, Australia

No DP2013-37, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: 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.

Keywords: Regeneration; rejuvenation; simulation; coupling from the past; perfect sampling (search for similar items in EconPapers)
Pages: 15 pages
Date: 2013-11
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