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Perfect simulation for a class of positive recurrent Markov chains

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Connor, Stephen B. and Kendall, Wilfrid S.. (2007) Perfect simulation for a class of positive recurrent Markov chains. Annals of Applied Probability, Vol.17 (No.3). pp. 781-808. ISSN 1050-5164

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Official URL: http://dx.doi.org/10.1214/105051607000000032

Abstract

This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140-15 11, 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.

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Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Ergodic theory, Markov processes
Journal or Publication Title:	Annals of Applied Probability
Publisher:	Institute of Mathematical Statistics
ISSN:	1050-5164
Date:	June 2007
Volume:	Vol.17
Number:	No.3
Number of Pages:	28
Page Range:	pp. 781-808
Identification Number:	10.1214/105051607000000032
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Open Access
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URI:	http://wrap.warwick.ac.uk/id/eprint/31852