Simulating events of unknown probabilities via reverse time martingales

DOI10.1002/rsa.20333zbMath1236.60044arXiv0907.4018OpenAlexW2142828514MaRDI QIDQ5198664

Omiros Papaspiliopoulos, Gareth O. Roberts, Ioannis Kosmidis, Krzysztof Łatuszyński

Publication date: 9 August 2011

Published in: Random Structures & Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.4018

zbMATH Keywords

computational problems in statisticsretrospective samplingBernoulli factorymartingales with discrete parameterunbiased simulation

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (12)

Optimal linear Bernoulli factories for small mean problems ⋮ The computational cost of blocking for sampling discretely observed diffusions ⋮ CLTs and asymptotic variance of time-sampled Markov chains ⋮ Combinatorial Bernoulli factories ⋮ Nearly Optimal Bernoulli Factories for Linear Functions ⋮ Barker's algorithm for Bayesian inference with intractable likelihoods ⋮ Exact sampling for intractable probability distributions via a Bernoulli factory ⋮ An asymptotically optimal Bernoulli factory for certain functions that can be expressed as power series ⋮ Bayesian computation: a summary of the current state, and samples backwards and forwards ⋮ Exact simulation for multivariate Itô diffusions ⋮ On nonnegative unbiased estimators ⋮ From the Bernoulli factory to a dice enterprise via perfect sampling of Markov chains

Cites Work

• A factorisation of diffusion measure and finite sample path constructions
• Iterating von Neumann's procedure for extracting random bits
• Nonexistence of a class of variate generation schemes.
• Fast simulation of new coins from old
• New coins from old: Computing with unknown bias
• Exact simulation of diffusions
• Retrospective exact simulation of diffusion sample paths with applications
• Stochastic simulation: Algorithms and analysis
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models
• The numerical solution of stochastic differential equations
• A Bernoulli factory
• Stationarity detection in the initial transient problem
• Stochastic differential equations. An introduction with applications.

This page was built for publication: Simulating events of unknown probabilities via reverse time martingales