Stochastic Algorithms, Symmetric Markov Perfect Equilibrium, and the 'curse' of Dimensionality - Pakes, Ariel; McGuire, Paul (Econometrica, 2001)
Keywords: Algorithms; Applied sciences; Approximation; Cardinality; curse of dimensionality; Dynamic games; Dynamic modeling; Dynamic programming; Econometric models; Econometrics; Economics; Equilibrium; Ergodic theory; Estimation; Exact sciences and technology; Game theory; Incumbents; Insurance policies; Markov analysis; Mathematics; Memory; Model testing; Nash equilibrium; Operational research and scientific management; Operational research. Management science; Parametric inference; Probability and statistics; Recurrent; Sciences and techniques of general use; State vectors; Statistics; stochastic algorithms; Stochastic models; Studies; United States--US; Parameter estimation; Optimal policy; Stochastic approximation; Updating; Iterative method; State space; Iteration; Computing; Industrial organization; Approximation theory; Dynamic game; Stochastic algorithm; Markov model; State space method; Random distribution; Algorithm; Mean estimation; Kernel method; Kernels; Kernel function; Selection problem; Stopping rule; Computing equilibrium point; First integral; Econometrics