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

Access to Document

10.1016/j.jmateco.2014.11.004

Cite this

@article{b10b62c4ceec4f0eb77ae3469f247da9,

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",

note = "Publisher Copyright: {\textcopyright} 2014 Elsevier B.V.",

year = "2015",

month = jan,

day = "1",

doi = "10.1016/j.jmateco.2014.11.004",

language = "English",

volume = "56",

pages = "9--14",

journal = "Journal of Mathematical Economics",

issn = "0304-4068",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - Perfect simulation for models of industry dynamics

AU - Kamihigashi, Takashi

AU - Stachurski, John

PY - 2015/1/1

Y1 - 2015/1/1

N2 - 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.

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

UR - https://www.scopus.com/pages/publications/84922347388

U2 - 10.1016/j.jmateco.2014.11.004

DO - 10.1016/j.jmateco.2014.11.004

M3 - Article

SN - 0304-4068

VL - 56

SP - 9

EP - 14

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

ER -

Perfect simulation for models of industry dynamics

Abstract

Access to Document

Other files and links

Fingerprint

Cite this