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Perfect simulation for a class of positive recurrent Markov chains

Stephen B. Connor·Wilfrid S. Kendall
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Abstract

This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140--151], which showed that perfect simulation, in the form of dominated coupling from the past, is always possible (although not necessarily practical) for geometrically ergodic Markov chains. Here, we consider the more general situation of positive recurrent chains and explore when it is possible to produce such a simulation algorithm for these chains. We introduce a class of chains which we name tame, for which we show that perfect simulation is possible.

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BibTeXRIS

Stephen B. Connor, Wilfrid S. Kendall. 2006-01-09. Perfect simulation for a class of positive recurrent Markov chains. https://doi.org/10.1214/105051607000000032

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