Geometric ergodicity and perfect simulation

DOI10.1214/ECP.V9-1117MaRDI QIDQ1768228zbMATH OpenOpenAlexFDO

Authors Wilfrid S. Kendall

Publication date 14 March 2005

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0410012, https://eudml.org/doc/124581

zbMATH Keywords

dominated coupling from the past algorithmsFoster-Lyapunov criteriageometrically ergodic chains

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

Abstract: This note extends the work of Foss and Tweedie (1997), who showed that availability of the classic Coupling from The Past algorithm of Propp and Wilson (1996) is essentially equivalent to uniform ergodicity for a Markov chain (see also HobertRobert, 2004). In this note we show that all geometrically ergodic chains possess dominated Coupling from The Past algorithms (not necessarily practical!) which are rather closely connected to Foster-Lyapunov criteria.

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Cited in

(16)

• Doeblin trees
• Perfect sampling of GI/GI/\(c\) queues
• Perfect simulation for locally continuous chains of infinite order
• Perfect simulation for a class of positive recurrent Markov chains
• Perfect simulation of \(\mathrm{M}/\mathrm{G}/c\) queues
• Using the M/G/1 queue under processor sharing for exact simulation of queues
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Power diagrams and interaction processes for unions of discs
• The Markov chain Monte Carlo revolution
• Numerical computations of geometric ergodicity for stochastic dynamics
• Perfect Sampling of Generalized Jackson Networks
• Exact estimation for Markov chain equilibrium expectations
• The mathematics of mixing things up
• Perfect sampling of stochastic matching models with reneging
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Comment: ``Gibbs sampling, exponential families, and orthogonal polynomials

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