Generalized look-ahead methods for computing stationary densities

R. Anton Braun*, Huiyu Li, John Stachurski

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    2 Citations (Scopus)


    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 broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L 2 asymptotic normality are established. The L 2 asymptotic normality implies pn convergence rates for L 2 deviation.

    Original languageEnglish
    Pages (from-to)489-500
    Number of pages12
    JournalMathematics of Operations Research
    Issue number3
    Publication statusPublished - Aug 2012


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