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 much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established.
['R. Anton Braun', 'Huiyu Li', 'John Stachurski']
Generalized Look-Ahead Methods for Computing Stationary Densities