Computing the Distributions of Economic Models via Simulation
We study a Monte Carlo algorithm for computing marginal and stationary densities of stochastic models with the Markov property, establishing global asymptotic normality and O(n^(1/2)) convergence. Asymptotic normality is used to derive error bounds in terms of the distribution of the norm deviation. Copyright The Econometric Society 2008.
Year of publication: |
2008
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Authors: | Stachurski, John ; Martin, Vance |
Published in: |
Econometrica. - Econometric Society. - Vol. 76.2008, 2, p. 443-450
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Publisher: |
Econometric Society |
Saved in:
Online Resource
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