Perfect sampling of ergodic Harris chains

Citation
Jn. Corcoran et Rl. Tweedie, Perfect sampling of ergodic Harris chains, ANN APPL PR, 11(2), 2001, pp. 438-451
Citations number
19
Categorie Soggetti
Mathematics
Journal title
ANNALS OF APPLIED PROBABILITY
ISSN journal
10505164 → ACNP
Volume
11
Issue
2
Year of publication
2001
Pages
438 - 451
Database
ISI
SICI code
1050-5164(200105)11:2<438:PSOEHC>2.0.ZU;2-5
Abstract
We develop an algorithm for simulating "perfect" random samples from the in variant measure of a Harris recurrent Markov chain. The method uses backwar d coupling of embedded regeneration times and works most effectively for st ochastically monotone chains, where paths may be sandwiched between "upper" and "lower" processes. We give an approach to finding analytic bounds on t he backward coupling times in the stochastically monotone case. An applicat ion to storage models is given.