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Computing Densities : A Conditional Monte Carlo Estimator
http://hdl.handle.net/2261/32454
http://hdl.handle.net/2261/3245499409c5c-11c8-42ca-9b8c-81c9c6c2f837
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Computing Densities : A Conditional Monte Carlo Estimator | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Distributions | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | numerical methods | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | simulation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification Codes: C15, C63 | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Braun, Richard Anton
× Braun, Richard Anton× Li, Huiyu× Stachurski, John |
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著者所属 | ||||||
著者所属 | Faculty of Economics, The University of Tokyo | |||||
著者所属 | ||||||
著者所属 | Institute of Economic Research, Kyoto University | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | We propose a generalized conditional Monte Carlo technique for computing densities in economic models. Global consistency and functional asymptotic normality are established under ergodicity assumptions on the simulated process. The asymptotic normality result allows us to characterize the asymptotic distribution of the error in density space, and implies faster convergence than nonparametric kernel density estimators. We show that our results nest several other well-known density estimators, and illustrate potential applications. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-678, 発行日 2009-10 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf678ab.html |