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Introduction to coupling-from-the-past using R
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Kendall, W. S. (2015) Introduction to coupling-from-the-past using R. In: Schmidt, Volker, (ed.) Stochastic Geometry, Spatial Statistics and Random Fields : Models and Algorithms. Lecture Notes in Mathematics, 2120 . Springer International Publishing, pp. 405-439. ISBN 9783319100630
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Official URL: http://dx.doi.org/10.1007/978-3-319-10064-7_13
Abstract
The purpose of this chapter is to exemplify construction of selected coupling-from-the-past algorithms, using simple examples and discussing code which can be run in the statistical scripting language R. The simple examples are: symmetric random walk with two reflecting boundaries, a very basic continuous state-space Markov chain, the Ising model with external field, and random walk with negative drift and a reflecting boundary at the origin. In parallel with this, a discussion is given of the relationship between coupling-from-the-past algorithms on the one hand, and uniform and geometric ergodicity on the other.
Item Type: | Book Item | ||||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||
Series Name: | Lecture Notes in Mathematics | ||||||
Publisher: | Springer International Publishing | ||||||
ISBN: | 9783319100630 | ||||||
ISSN: | 0075-8434 | ||||||
Book Title: | Stochastic Geometry, Spatial Statistics and Random Fields : Models and Algorithms | ||||||
Editor: | Schmidt, Volker | ||||||
Official Date: | 2015 | ||||||
Dates: |
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Volume: | 2120 | ||||||
Page Range: | pp. 405-439 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access |
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