Kendall, W. S. (2004) Geometric ergodicity and perfect simulation. Electronic communications in probability, Vol.9 (No.15). pp. 140-151.

Preview

PDF WRAP_Kendall_getdoc58f4.pdf - Published Version - Requires a PDF viewer. Download (222Kb)

Request Changes to record.

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.

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:	Electronic communications in probability
Publisher:	University of Washington. Dept. of Mathematics
ISSN:	1083-589X
Official Date:	26 October 2004
Dates:	Date Event 26 October 2004 Published
Volume:	Vol.9
Number:	No.15
Number of Pages:	12
Page Range:	pp. 140-151
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

Request changes or add full text files to a record

Repository staff actions (login required)

View Item

Downloads