Perfect simulation for stochastic chains of infinite memory: relaxing the continuity assumption

Details Perfect simulation for stochastic chains of infinite memory: relaxing the continuity assumption Perfect simulation for stochastic chains of infinite memory: relaxing the continuity assumption

2010-05-29

arxiv.org/abs/1005.5459v1

Mathematics

Probability

20 pages, 8 figures and 1 pseudo-code for the algorithm

Scientific paper

This paper is composed of two main results concerning chains of infinite order which are not necessarily continuous. The first one is a decomposition of the transition probability kernel as a countable mixture of unbounded probabilistic context trees. This decomposition is used to design a simulation algorithm which works as a combination of the algorithms given by Comets et al. (2002) and Gallo (2009). The second main result gives sufficient conditions on the kernel for this algorithm to stop after an almost surely finite number of steps. Direct consequences of this last result are existence and uniqueness of the stationary chain compatible with the kernel.

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