Exact sampling from a continuous state space
by Duncan Murdoch (Queens University, Canada) and Peter Green (Bristol, UK).
Scandinavian Journal of Statistics, 25, 483-502.
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
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