Markov Chains, Iterated System of Functions and Coupling time for Perfect Simulation
نویسنده
چکیده
Simulation of Markov chains are usually based on an algorithmic representation of the chain. This corresponds to stochastic recurrent equation and could be interpreted as random iterated systems of functions (RIFS). In particular, for perfect simulation of Markov chains, the RIFS structure has a deep impact on execution time of the simulation. Links between the structure of the RIFS and coupling time of algorithm are detailed in this paper. Conditions for coupling and upper bound for simulation time are given for Doeblin matrices. Finally, it is shown that aliasing techniques build an RIFS with a particular binary structure.
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تاریخ انتشار 2006