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May 2001 Perfect sampling of ergodic Harris chains
J. N. Corcoran, R. L. Tweedie
Ann. Appl. Probab. 11(2): 438-451 (May 2001). DOI: 10.1214/aoap/1015345299


We develop an algorithm for simulating “perfect” random samples from the invariant measure of a Harris recurrent Markov chain.The method uses backward coupling of embedded regeneration times and works most effectively for stochastically monotone chains, where paths may be sandwiched between “upper” and “lower” processes. We give an approach to finding analytic bounds on the backward coupling times in the stochastically monotone case. An application to storage models is given.


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J. N. Corcoran. R. L. Tweedie. "Perfect sampling of ergodic Harris chains." Ann. Appl. Probab. 11 (2) 438 - 451, May 2001.


Published: May 2001
First available in Project Euclid: 5 March 2002

zbMATH: 1017.60082
MathSciNet: MR1843053
Digital Object Identifier: 10.1214/aoap/1015345299

Primary: 60J10 , 60K05 , 60K30

Keywords: backward coupling , Coupling from the past , exact sampling , geometric ergodicity , Invariant measures , Irreducible Markov chains , perfect sampling , queues , storage models

Rights: Copyright © 2001 Institute of Mathematical Statistics


Vol.11 • No. 2 • May 2001
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