A Propp-Wilson perfect simulation scheme for processes with long memory

Details A Propp-Wilson perfect simulation scheme for processes with long memory A Propp-Wilson perfect simulation scheme for processes with long memory

2011-06-29

arxiv.org/abs/1106.5971v1

Mathematics

Probability

16 pages, 5 figures

Scientific paper

We describe a new "coupling from the past" algorithm for variable length Markov chains and random systems with perfect connections. This algorithm generalizes Propp and Wilson's simulation scheme, and improves on existing algorithms in that it requires much less restrictive conditions on the kernel to converge. It proves interesting even in the simple case of finite order Markov chains in terms of speed of convergence. Chains of variable or infinite order are an old objet of consideration that raised considerable interest recently because of its applications in applied probability, from information theory to bio-informatics and linguistics.

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