Simulating the Invariant Measures of Markov Chains Using Backward Coupling at Regeneration Times

DOI10.1017/S0269964800005209zbMath0956.65004OpenAlexW2000294345MaRDI QIDQ4950715

Jem N. Corcoran, Richard L. Tweedie, Sergeĭ Georgievich Foss

Publication date: 9 April 2000

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800005209

zbMATH Keywords

algorithmrandom samplesinvariant measureMarkov chainbackward couplingstochastically monotone chainscycle-length truncation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

• Two ergodicity criteria for stochastically recursive sequences
• Computable bounds for geometric convergence rates of Markov chains
• Minorization Conditions and Convergence Rates for Markov Chain Monte Carlo
• Geometric Convergence Rates for Stochastically Ordered Markov Chains
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