Perfect simulation for models of industry dynamics

Takashi Kamihigashi; John Stachurski

doi:10.1016/j.jmateco.2014.11.004

Perfect simulation for models of industry dynamics

Takashi Kamihigashi, John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	9-14
Number of pages	6
Journal	Journal of Mathematical Economics
Volume	56
DOIs	https://doi.org/10.1016/j.jmateco.2014.11.004
Publication status	Published - 1 Jan 2015

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10.1016/j.jmateco.2014.11.004

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title = "Perfect simulation for models of industry dynamics",

abstract = "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.",

keywords = "Coupling from the past, Perfect sampling, Regeneration, Simulation",

author = "Takashi Kamihigashi and John Stachurski",

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AU - Stachurski, John

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AB - 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.

KW - Coupling from the past

KW - Perfect sampling

KW - Regeneration

KW - Simulation

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JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

ER -

Perfect simulation for models of industry dynamics

Abstract

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