Exact sampling from a continuous state space


by Duncan Murdoch (Queens University, Canada) and Peter Green (Bristol, UK)


Propp and Wilson (1995) described a protocol, called coupling from the past, for exact sampling from a finite distribution using a coupled Markov chain Monte Carlo algorithm. In this paper we extend coupling from the past to various MCMC samplers on a continuous state space; rather than following the monotone sampling device of Propp and Wilson, our approach uses methods related to gamma-coupling and rejection sampling to simulate the chain, and direct accounting of sample paths to check whether they have coupled.


Back to Duncan Murdoch's home page.