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SHIFT AND SCALE COUPLING METHODS FOR PERFECT SIMULATION

Published online by Cambridge University Press:  06 June 2003

J.N. Corcoran  and
U. Schneider
J.N. Corcoran
Affiliation:
Department of Applied Mathematics, University of Colorado, Boulder, CO 80309-0526, E-mail: [email protected]
U. Schneider
Affiliation:
Department of Applied Mathematics, University of Colorado, Boulder, CO 80309-0526, E-mail: [email protected]
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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.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 17 , Issue 3 , July 2003 , pp. 277 - 303
Copyright
© 2003 Cambridge University Press

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