Extension of Fill's perfect rejection sampling algorithm to general chains

Authors
Fill, JA Machida, M Murdoch, DJ Rosenthal, JS
Citation
Ja. Fill et al., Extension of Fill's perfect rejection sampling algorithm to general chains, RAND STR AL, 17(3-4), 2000, pp. 290-316
Citations number
45
Categorie Soggetti
Mathematics
Journal title
RANDOM STRUCTURES & ALGORITHMS
ISSN journal
10429832 → ACNP
Volume
17
Issue
3-4
Year of publication
2000
Pages
290 - 316
Database
ISI
SICI code
1042-9832(200010/12)17:3-4<290:EOFPRS>2.0.ZU;2-X
Abstract
By developing and applying a broad framework for rejection sampling using a uxiliary randomness, we provide an extension of the perfect sampling algori thm of Fill (1998a) to general chains on quite general state spaces, and de scribe how use of bounding processes can ease computational burden. Along t he way, we unearth a simple connection between the coupling from the past ( CFTP) algorithm originated by Propp and Wilson (1996) and our extension of Fill's algorithm. (C) 2000 John Wiley & Sons, Inc.