Learning, large deviations and rare events
by Jess Benhabib
"We examine the asymptotic distribution of estimated coefficients and endogenous variables in a dynamic self-referential model when agents learn adaptively using a constant gain stochastic gradient algorithm. The model environment can represent a number of economic models, including asset pricing models, that have been studied recently in the adaptive learning framework. The asymptotic distributions of forecasts and endogenous variables are characterized using techniques from linear recursions with multiplicative noise and large deviations, and are shown to exhibit fat tails"--National Bureau of Economic Research web site.
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Learning, large deviations and rare events
2011, National Bureau of Economic Research
Electronic resource
in English
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Title from PDF file as viewed on 5/19/2011.
Includes bibliographical references.
Also available in print.
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Mode of access: World Wide Web.
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| October 17, 2020 | Edited by MARC Bot | import existing book |
| July 27, 2011 | Created by LC Bot | import new book |