EXACT SAMPLING FROM A CONTINUOUS STATE-SPACE

Propp & Wilson (1996) described a protocol, called coupling from the p ast, for exact sampling from a target distribution using a coupled Mar kov chain Monte Carlo algorithm. In this paper,ve extend coupling from the past to various MCMC samplers on a continuous state space; rather than following the monotone sampling device of Propp & Wilson, our ap proach uses methods related to gamma-coupling and rejection sampling t o simulate the chain, and direct accounting of sample paths.