Perfect simulation for a class of positive recurrent Markov chains
Stephen B. Connor and Wilfrid S. Kendall
Source: Ann. Appl. Probab. Volume 17, Number 3 (2007), 781-808.
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.
Primary Subjects: 60J65, 65C05, 68U20
Keywords: CFTP; domCFTP; polynomial ergodicity; Foster–Lyapunov condition; Markov chain Monte Carlo; perfect simulation
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Permanent link to this document: http://projecteuclid.org/euclid.aoap/1179839174
Digital Object Identifier: doi:10.1214/105051607000000032
Mathematical Reviews number (MathSciNet):
MR2326232
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