Geometric Ergodicity and Perfect Simulation
نویسنده
چکیده
Abstract This note extends the work of Foss and Tweedie (1998), who showed that availability of the classic Propp and Wilson (1996) Coupling from The Past algorithm is essentially equivalent to uniform ergodicity for a Markov chain (see also Hobert and Robert 2004). In this note we show that all geometrically ergodic chains possess dominated Coupling from The Past algorithms (not necessarily practical!) which are rather closely connected to Foster-Lyapunov criteria.
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تاریخ انتشار 2004