Computing Densities and Expectations in Stochastic Recursive Economies: Generalized Look-Ahead Techniques
نویسندگان
چکیده
We propose a generalized look-ahead estimator for computing densities and expectations in economic models. We provide conditions under which the estimator converges globally with probability one, and exhibit the asymptotic distribution of the error. Our estimator is more efficient than other Monte Carlo based approaches. Numerical experiments indicate that the estimator can provide large increases in accuracy and speed relative to traditional methods. Particular applications we consider are the stochastic growth model and an income fluctuation problem.
منابع مشابه
A Comparative Study of Pipelining Techniques for Recursive Filter Implemented in FPGA
This paper presents different pipelining approach for higher order recursive digital filter. The performance of the filter is increased by pipelining the filter. Clustered look-ahead, scattered look-ahead pipelining methods and implementation of IIR filter in FPGA are analyzed. Clustered look-ahead pipeline is not always stable. To achieve a stable pipeline filter scattered look-ahead pipelinin...
متن کاملGeneralized Look-Ahead Methods for Computing Stationary Densities
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 asymptotic normality are established. The L2 asymptotic normality implies √ n convergence rates for L2 ...
متن کاملLook-ahead Levinson- and Schur-type Recurrences in the Padé Table∗
For computing Padé approximants, we present presumably stable recursive algorithms that follow two adjacent rows of the Padé table and generalize the well-known classical Levinson and Schur recurrences to the case of a nonnormal Padé table. Singular blocks in the table are crossed by look-ahead steps. Ill-conditioned Padé approximants are skipped also. If the size of these lookahead steps is bo...
متن کاملPipelined adaptive IIR filter architectures using scattered and relaxed look-ahead transformations
Fine-grain pipelined architectures for adaptive infinite impulse response (AIIR) filters are presented in this paper. The AIIR filters are equation error based. The proposed architectures are developed by employing a combination of scattered look-ahead and relaxed look-ahead pipelining techniques. First, a pipelined system identification scenario is developed. Then, the scattered look-ahead tec...
متن کاملAnnihilation-reordering look-ahead pipelined CORDIC-based RLS adaptive filters and their application to adaptive beamforming
The novel annihilation-reordering look-ahead technique is proposed as an attractive technique for pipelining of Givens rotation (or CORDIC) based adaptive lters. Unlike the existing relaxed look-ahead, the annihilation-reordering look-ahead does not depend on the statistical properties of the input samples. It is an exact look-ahead and based on CORDIC arithmetic, which is known to be numerical...
متن کامل