Geometric ergodicity and perfect simulation
Kendall, Wilfrid S.. (2004) Geometric ergodicity and perfect simulation. Electronic communications in probability, Vol.9 (No.15). pp. 140-151. ISSN 1083-589X
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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|
|Date:||26 October 2004|
|Number of Pages:||12|
|Page Range:||pp. 140-151|
|Access rights to Published version:||Restricted or Subscription Access|
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