SHIFT AND SCALE COUPLING METHODS FOR PERFECT SIMULATION

Authors:
J. N. Corcoran;U. Schneider
Affiliations:
Department of Applied Mathematics, University of Colorado, Boulder, CO 80309-0526, E-mail: corcoran@colorado.edu;Department of Applied Mathematics, University of Colorado, Boulder, CO 80309-0526, E-mail: Uli.Schneider@colorado.edu
Venue:
Probability in the Engineering and Informational Sciences
Year:
2003

Citing 2
Cited 1

Exact sampling with coupled Markov chains and applications to statistical mechanics

Proceedings of the seventh international conference on Random structures and algorithms
ON SIMULATION OF STOCHASTICALLY ORDERED LIFE-LENGTH VARIABLES

Probability in the Engineering and Informational Sciences

A skewed Kalman filter

Journal of Multivariate Analysis

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Abstract

We describe and develop a variation on a layered multishift coupler due to Wilson that uses a slice sampling procedure to allow one to obtain potentially common draws from two different distributions. Our main application is coupling sample paths of Markov chains for use in perfect sampling algorithms. The coupler is based on slicing density functions and we describe a “folding” mechanism as an attractive alternative to the accept/reject step commonly used in slice sampling algorithms. Applications of the coupler are given to storage models and to auto-gamma distribution sampling.