A general framework for perfect simulation of long memory processes

2010/04/01 by Emilio De Santis, De Santis, Emilio, Mauro Piccioni +1
Mathematics · #60G10 #60J10 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G10 #msc:60J10

paper · pdf · doi:10.48550/arxiv.1004.0113

25 pages

arxiv created 2010/04/01 · arxiv updated 2010/04/02

Abstract

In this paper a general approach for the perfect simulation of a stationary process with at most countable state space is outlined. The process is specified through a kernel, prescribing the probability of each state conditional to the whole past history. We follow the seminal paper of Comets, Fernandez and Ferrari, where sufficient conditions for the construction of a certain perfect simulation algorithm have been given. We generalize this approach by defining backward coalescence times for these kind of processes; this allows us to construct perfect simulation algorithms under weaker conditions.

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