Perfect simulation for a class of positive recurrent Markov chains
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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.
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Cites work
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- Perfect simulation for a class of positive recurrent Markov chains
- Kalikow-type decomposition for multicolor infinite range particle systems
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Doeblin trees
- State-dependent Foster-Lyapunov criteria for subgeometric convergence of Markov chains
- A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability
- Geometric ergodicity and perfect simulation
- Perfect simulation with exponential tails on the running time
- Perfect simulation for locally continuous chains of infinite order
- Exact estimation for Markov chain equilibrium expectations
- Perfect simulation of steady-state Markov chain on mixed state space
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