Automatically assigned DDC number: 519233

Manually assigned DDC number: 519233

Number of references: 16

Title: Extension of Fill's perfect rejection sampling algorithm to general chains (Extended Abstract)

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Subject: James Allen Fill,Motoya Machida,Duncan J. Murdoch,Jeffrey S. Rosenthal Extension of Fill's perfect rejection sampling algorithm to general chains (Extended Abstract)

Description: . We provide an extension of the perfect sampling algorithm of Fill (1998) to general chains, and describe how use of bounding processes can ease computational burden. Along the way, we unearth a simple connection between the Coupling From The Past (CFTP) algorithm originated by Propp and Wilson (1996) and our extension of Fill's algorithm. 1 Introduction Markov chain Monte Carlo (MCMC) methods have become extremely popular for Bayesian inference problems (consult, e.g., Gelfand and Smith [16], Smith 1991 Mathematics Subject Classification. Primary 60J10, 68U20; Secondary 60G40, 62D05, 62E25. The first and second authors have been supported in part by NSF grants DMS--9626756 and DMS--9803780, and by the Acheson J. Duncan Fund for the Advancement of Research in Statistics. The third and fourth authors have been supported in part by NSERC. c fl0000 American Mathematical Society 2 James Allen Fill, Motoya Machida, Duncan J. Murdoch, and Jeffrey S. Rosenthal and Roberts [36], Tierne...

Contributor: The Pennsylvania State University CiteSeer Archives

Publisher: unknown

Date: 1999-10-02

Pubyear: 1999

Format: ps

Identifier: http://citeseer.ist.psu.edu/221130.html

Source: ftp://markov.utstat.toronto.edu/jeff/fourshort.ps.Z

Language: en

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