Electronic Communications in Probability

Geometric Ergodicity and Perfect Simulation

Wilfrid Kendall

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This note extends the work of Foss and Tweedie (1998), who showed that availability of the classic Coupling from the Past (CFTP) algorithm of Propp and Wilson (1996) is essentially equivalent to uniform ergodicity for a Markov chain (see also Hobert and Robert, 2004). In this note we show that all geometrically ergodic chains possess dominated CFTP algorithms (not necessarily practical!) which are rather closely connected to Foster-Lyapunov criteria. Hence geometric ergodicity implies dominated CFTP.

Article information

Electron. Commun. Probab. Volume 9 (2004), paper no. 15, 140-151.

Accepted: 26 October 2004
First available in Project Euclid: 26 May 2016

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Mathematical Reviews number (MathSciNet)

Primary: 60J05: Discrete-time Markov processes on general state spaces

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Kendall, Wilfrid. Geometric Ergodicity and Perfect Simulation. Electron. Commun. Probab. 9 (2004), paper no. 15, 140--151. doi:10.1214/ECP.v9-1117. http://projecteuclid.org/euclid.ecp/1464286695.

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