An Elementary Rigorous Introduction to Exact Sampling

F. Friedrich (), G. Winkler (), O. Wittich () and V. Liebscher ()
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F. Friedrich: GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry
G. Winkler: GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry
O. Wittich: GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry
V. Liebscher: GSF - National Research Center for Environment and Health, Institute of Biomathematics and Biometry

A chapter in Recent Advances in Applied Probability, 2005, pp 143-161 from Springer

Abstract: Abstract We introduce coupling from the past, a recently developed method for exact sampling from a given distribution. Focus is on rigour and thorough proofs. We stay on an elementary level which requires little or no prior knowledge from probability theory. This should fill an obvious gap between innumerable intuitive and incomplete reviews, and few precise derivations on an abstract level.

Keywords: Markov Chain; Markov Chain Monte Carlo; Ising Model; Transition Rule; Apply Probability (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-23394-9_6

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DOI: 10.1007/0-387-23394-6_6

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