Perfect simulation for models of industry dynamics
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Kamihigashi, Takashi; Stachurski, John
Description
In this paper we introduce a technique for perfect simulation from the stationary distribution of a standard model of industry dynamics. The method can be adapted to other, possibly non-monotone, regenerative processes found in industrial organization and other fields of economics. The algorithm we propose is a version of coupling from the past. It is straightforward to implement and exploit the regenerative property of the process in order to achieve rapid coupling.
Collections | ANU Research Publications |
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Date published: | 2015-01 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/13587 |
Source: | Journal of Mathematical Economics |
DOI: | 10.1016/j.jmateco.2014.11.004 |
Access Rights: | Open Access |
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File | Description | Size | Format | Image |
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Kamihigashi et al Perfect simulation for models 2014.pdf | 245.33 kB | Adobe PDF |
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