Simulating the Invariant Measures of Markov Chains Using Backward Coupling at Regeneration Times Journal Article uri icon

Overview

abstract

  • We develop an algorithm for simulating approximate random samples from the invariant measure of a Markov chain using backward coupling of embedded regeneration times. Related methods have been used effectively for finite chains and for stochastically monotone chains: here we propose a method of implementation which avoids these restrictions by using a “cycle-length” truncation. We show that the coupling times have good theoretical properties and describe benefits and difficulties of implementing the methods in practice.

publication date

  • July 1, 1998

Full Author List

  • Foss SG; Tweedie RL; Corcoran JN

Other Profiles

Additional Document Info

start page

  • 303

end page

  • 320

volume

  • 12

issue

  • 3