Message-ID: <SNT132-ds20864CB8B8BA029FE8D239AE310@phx.gbl>
Date: 2011-07-23T08:33:25Z
From: Hong Yu
Subject: How to solve ergodic density/distribution using R
May I have a question on how to solve the following problem by R code?
Mainly we want to solve the equation show in the attached image. The equation is a continuous version of Markov process.
In the equation, we have been able to achieve two things using R code:
[1] From year-2009 sample data, we can estimate the marginal density ?f(x ; 2009)? by using R function ?density()?
[2] From appropriately grouped all sample data, we can estimate the conditional density ?g(z|x ; 1)? by using R function ?cde()? from hdrcde package
Now we are searching and reading reference docs on how to solve for the long-run (ergodic) distribution ?f(x)?. Much appreciated if any suggestions on solution steps using R; and we will be happy to provide additional references. Thanks a lot!
Regards,
Hong Yu