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This paper revisits the approximate aggregation result of Krusell and Smith (1998). For the stochastic growth model with inelastic labor supply and uninsurable shocks to employment, those authors found that the mean was sufficient to forecast future prices; since prices are known functions of...
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The non-stationary gamma process is a non-decreasing stochastic process with independent increments. By this monotonic behavior this stochastic process serves as a natural candidate for modelling time-dependent phenomena such as degradation. In condition-based maintenance the first time such a...
Persistent link: https://www.econbiz.de/10005450844
This paper provides deterministic approximation results for stochastic processes that arise when finite populations … recurrently play finite games. The deterministic approximation is defined in continuous time as a system of ordinary differential … stochastic process, for large populations, and its deterministic approximation. In particular, we show that if the deterministic …
Persistent link: https://www.econbiz.de/10005419542
a standard solution involves complex multivariate models. A simple approximation has been shown to work well in … bivariate models. This paper extends the approximation to a trivariate model. Simulations show that the approximation … outperforms full maximum likelihood while a least squares approximation may be severely biased. The methods are used to estimate …
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approximators. A number of nonexpansive approximation schemes are discussed. The main contribution is to provide error bounds for …
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