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Perfect simulation of some point processes for the impatient user
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UNSPECIFIED (1999) Perfect simulation of some point processes for the impatient user. ADVANCES IN APPLIED PROBABILITY, 31 (1). pp. 69-87. ISSN 0001-8678
Full text not available from this repository.Abstract
Recently Propp and Wilson [14] have proposed an algorithm, called coupling from the past (CFTP), which allows not only an approximate but perfect(i.e. exact) simulation of the stationary distribution of certain finite state space Markov chains. Perfect sampling using CFTP has been successfully extended to the context of point processes by, amongst other authors, Haggstrom et al. [5]. In [5] Gibbs sampling is applied to a bivariate point process, the penetrable spheres mixture model [19]. However, in general the running time of CFTP in terms of number of transitions is not independent of the state sampled. Thus an impatient user who aborts long runs may introduce a subtle bias, the user impatience bias. Pill [3] introduced an exact sampling algorithm for finite state space Markov chains which, in contrast to CFTP, is unbiased for user impatience. Fill's algorithm is a form of rejection sampling and similarly to CFTP requires sufficient monotonicity properties of the transition kernel used. We show how Fill's version of rejection sampling can be extended to an infinite state space context to produce an exact sample of the penetrable spheres mixture process and related models. Following [5] we use Gibbs sampling and make use of the partial order of the mixture model state space. Thus we construct an algorithm which protects against bias caused by user impatience and which delivers samples not only of the mixture model but also of the attractive area-interaction and the continuum random-cluster process. AMS 1991 Subject Classification: Primary 60J10 Secondary 68U20;60G57;60D05.
| Item Type: | Journal Article |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Journal or Publication Title: | ADVANCES IN APPLIED PROBABILITY |
| Publisher: | APPLIED PROBABILITY TRUST |
| ISSN: | 0001-8678 |
| Date: | March 1999 |
| Volume: | 31 |
| Number: | 1 |
| Number of Pages: | 19 |
| Page Range: | pp. 69-87 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/14447 |
Data sourced from Thomson Reuters' Web of Knowledge
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