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Perfect simulation for a class of positive recurrent Markov chains
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Connor, Stephen B. and Kendall, W. S. (2007) Perfect simulation for a class of positive recurrent Markov chains. Annals of Applied Probability, Vol.17 (No.3). pp. 781-808. doi:10.1214/105051607000000032 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.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > 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 | ||||
Official Date: | June 2007 | ||||
Dates: |
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Volume: | Vol.17 | ||||
Number: | No.3 | ||||
Number of Pages: | 28 | ||||
Page Range: | pp. 781-808 | ||||
DOI: | 10.1214/105051607000000032 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 15 December 2015 | ||||
Date of first compliant Open Access: | 15 December 2015 |
Data sourced from Thomson Reuters' Web of Knowledge
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