Solving Stochastic Difference Equations Originated from Continuous-time Threshold AR(1) Models Through Perfect Simulation
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چکیده
In this paper we look at a discretization of a continuous-time threshold AR(1) process (CTAR(1)) and show how to apply perfect simulation to find the stationary distribution of the resulting stochastic difference equation. Such method leads to perfect solutions of stochastic difference equations of this kind. Depending on how sensitive the original CTAR(1) process is to the discretization, the method may give an approximate solution to the original continuous-time process. Also, we introduce the phenomenon of decoupling in a perfect simulation algorithm.
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تاریخ انتشار 2003