The double CFTP method

DOI10.1145/1899396.1899398MaRDI QIDQ4635169zbMATH OpenOpenAlexFDO

Authors Luc Devroye, Lancelot F. James

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1899396.1899398

zbMATH Keywords

Bessel bridgecoupling from the pastDirichlet meansdistribution theoryexpected time analysisMarkov chainsMonte Carlo methodsperpetuitiesPoisson-Dirichlet meansrandom partitionsrandom variate generationsimulationstochastic fixed point equationsstochastic recurrences

Mathematics Subject Classification ID

Recommendations

• Perfect simulation and backward coupling^∗
• Exact Sampling from a Continuous State Space
• Density approximation and exact simulation of random variables that are solutions of fixed-point equations
• A kind of dual form for coupling from the past algorithm, to sample from Markov chain steady-state probability
• Perfect simulation

Cited in

(7)

• On simulation and properties of the stable law
• Double successive partial triadic analysis DO-sPTA method
• Appendix to ``Approximating perpetuities
• Exact simulation of the extrema of stable processes
• Discussion of ``On simulation and properties of the stable law by L. Devroye and L. James
• Quantile clocks
• Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation

This page was built for publication: The double CFTP method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4635169)