Extension of Fill's perfect rejection sampling algorithm to general chains

Extension of Fill's perfect rejection sampling algorithm to general chains

Random Structures Algorithms 17 (2000) 290-316 By developing and applying a broad framework for rejection sampling using auxiliary randomness, we provide an extension of the perfect sampling algorithm of Fill (1998) to general chains on quite general state spaces, and describe how use of bounding pr...

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Bibliographic Details
Main Authors: Fill, James Allen, Machida, Motoya, Murdoch, Duncan J, Rosenthal, Jeffrey S
Format: Journal Article
Language:English
Published: 30-05-2001
Subjects:
Mathematics - Probability
Mathematics - Statistics Theory
Statistics - Theory
Online Access:Get full text
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Summary:Random Structures Algorithms 17 (2000) 290-316 By developing and applying a broad framework for rejection sampling using auxiliary randomness, we provide an extension of the perfect sampling algorithm of Fill (1998) to general chains on quite general state spaces, and describe how use of bounding processes can ease computational burden. Along the way, we unearth a simple connection between the Coupling From The Past (CFTP) algorithm originated by Propp and Wilson (1996) and our extension of Fill's algorithm.
DOI:10.48550/arxiv.math/0105252