Perfect simulation for a class of positive recurrent Markov chains
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Publication:2456044
DOI10.1214/105051607000000032zbMATH Open1125.60074arXivmath/0601174OpenAlexW2078897464MaRDI QIDQ2456044FDOQ2456044
Authors: Stephen B. Connor, Wilfrid S. Kendall 
Publication date: 17 October 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/math/0601174
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Cited In (13)
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- 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
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