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README.rst

Generalized Look-Ahead Methods for Computing Stationary Densities

This page collects files and computer code for the paper Generalized Look-Ahead Methods for Computing Stationary Densities by R. Anton Braun, Huiyu Li and John Stachurski.

Publication Details

Generalized Look-Ahead Methods for Computing Stationary Densities
R. Anton Braun, Huiyu Li and John Stachurski
Mathematics of Operations Research, 37, 489-500, 2012

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 broader range of applications. We provide a general asymptotic theory for the estimator, where both L_1 consistency and L_2 asymptotic normality are established. The L_2 asymptotic normality implies \sqrt{n} convergence rates for L_2 deviation.

Code

The file garch2.py contains Python code for implementing figure 1 in the paper.

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