Perfect simulation for a class of positive recurrent Markov chains
Probability
2011-11-09 v3
Abstract
This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140--151], which showed that perfect simulation, in the form of dominated coupling from the past, is always possible (although not necessarily practical) for geometrically ergodic Markov chains. Here, we consider the more general situation of positive recurrent chains and explore when it is possible to produce such a simulation algorithm for these chains. We introduce a class of chains which we name tame, for which we show that perfect simulation is possible.
Keywords
Cite
@article{arxiv.math/0601174,
title = {Perfect simulation for a class of positive recurrent Markov chains},
author = {Stephen B. Connor and Wilfrid S. Kendall},
journal= {arXiv preprint arXiv:math/0601174},
year = {2011}
}
Comments
Published at http://dx.doi.org/10.1214/105051607000000032 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)