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2004 Geometric Ergodicity and Perfect Simulation
Wilfrid Kendall
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Electron. Commun. Probab. 9: 140-151 (2004). DOI: 10.1214/ECP.v9-1117

Abstract

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.

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Wilfrid Kendall. "Geometric Ergodicity and Perfect Simulation." Electron. Commun. Probab. 9 140 - 151, 2004. https://doi.org/10.1214/ECP.v9-1117

Information

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

zbMATH: 1061.60070
MathSciNet: MR2108860
Digital Object Identifier: 10.1214/ECP.v9-1117

Subjects:
Primary: 60J05

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