Generalized Look-Ahead Methods for Computing Stationary Densities
نویسندگان
چکیده
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 deviation.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 37 شماره
صفحات -
تاریخ انتشار 2012