Geometric Ergodicity and Perfect Simulation
Wilfrid S. Kendall, University of Warwick
Abstract
This note extends the work of Foss and Tweedie (1998), who showed
that availability of the classic Coupling from the Past (CFTP) algorithm of
Propp and Wilson (1996) 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 CFTP algorithms (not necessarily
practical!) which are rather closely connected to Foster-Lyapunov
criteria. Hence geometric ergodicity implies dominated CFTP.
Full text: PDF | PostScript
Copyright for articles published in this journal is retained by the authors, with first publication rights granted to the journal. By virtue of their appearance in this open access journal, articles are free to use, with proper attribution, in educational and other non-commercial settings.
The authors of papers published in EJP/ECP retain the copyright. We ask for the permission to use the material in any form. We also require that the initial publication in EJP or ECP is acknowledged in any future publication of the same article.
Before a paper is published in the Electronic Journal of Probability or Electronic Communications in Probability we must receive a hard-copy of the copyright form. Please mail it to
Philippe Carmona
Laboratoire Jean Leray UMR 6629
Universite de Nantes,
2, Rue de la Houssinière BP 92208
F-44322 Nantes Cédex 03
France
You can also send it by FAX: (33|0) 2 51 12 59 12 to the attention of Philippe Carmona.
The preferred way is to send a scanned (jpeg or pdf) copy of the signed copyright form to the managing editor Philippe Carmona at ejpecpme@math.univ-nantes.fr.
If a paper has several authors, the corresponding author signs the copyright form
on behalf of all the authors.