Perfect Simulation for a Class of Positive Recurrent Markov Chains

Stephen Connor, W.S. Kendall

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This paper generalises the work of Kendall (2004), which showed that perfect simulation, in the form of dominated coupling from the past, is always possible (though 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.
Original languageEnglish
Pages (from-to)781-808
Number of pages28
JournalThe Annals of Applied Probability
Volume17 (3)
Publication statusPublished - 2007


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