Perfect sampling of ergodic Harris chains

• 成果类型: Article
• 署名作者: Corcoran, JN; Tweedie, RL
• 署名单位: University of Colorado System; University of Colorado Boulder; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2001
• 页码: 438-451
• 关键词: markov-chains; regeneration times; simulation

摘要

We develop an algorithm for simulating perfect random samples from the invariant measure of a Harris recurrent Markov chain. The method uses backward coupling of embedded regeneration times and works most effectively for stochastically monotone chains, where paths may be sandwiched between upper and lower processes. We give an approach to finding analytic bounds on the backward coupling times in the stochastically monotone case. An application to storage models is given.