Braun, R. Anton; Li, Huiyu; Stachurski, John - College of Business and Economics, Australian National … - 2011
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...