Exact sampling from a continuous state space

被引：85

作者：

Murdoch, DJ

Green, PJ ^{[1
]}

机构：

[1] Univ Bristol, Dept Math, Bristol BS8 1TW, Avon, England

[2] Queens Univ, Kingston, ON K7L 3N6, Canada

来源：

SCANDINAVIAN JOURNAL OF STATISTICS | 1998年 / 25卷 / 03期

关键词：

coupling from the past; gamma coupling; Gibbs sampling; Markov chain Monte Carlo; Metropolis-Hastings; perfect simulation; rejection sampling;

D O I：

10.1111/1467-9469.00116

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Propp & Wilson (1996) described a protocol, called coupling from the past, for exact sampling from a target distribution using a coupled Markov chain Monte Carlo algorithm. In this paper,ve extend coupling from the past to various MCMC samplers on a continuous state space; rather than following the monotone sampling device of Propp & Wilson, our approach uses methods related to gamma-coupling and rejection sampling to simulate the chain, and direct accounting of sample paths.

引用

页码：483 / 502

页数：20

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