Perfect simulation for a class of positive recurrent Markov chains

• 成果类型: Article
• 署名作者: Connor, Stephen B.; Kendall, Wilfrid S.
• 署名单位: University of Warwick
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051607000000032
• 发表日期: 2007
• 页码: 781-808
• 关键词: subgeometric rates; CONVERGENCE

摘要

This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140-15 11, 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.