Perfect Forward Simulation via Simulated Tempering ... - probability.ca

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sampler (Neal 2000; Roberts and Rosenthal 2002a); simulated tempering .... to " trans-dimensional " (or " reversible jump " ) MCMC algorithms (Norman and ...
Perfect Forward Simulation via Simulated Tempering Stephen P. Brooks University of Cambridge, U.K.

Yanan Fan University of New South Wales, Australia

Jeffrey S. Rosenthal University of Toronto, Canada

Summary. Several authors discuss how the simulated tempering scheme provides a very simple mechanism for introducing regenerations within a Markov chain. In this paper we explain how regenerative simulated tempering schemes provide a very natural mechanism for perfect simulation. We use this to provide a perfect simulation algorithm, which uses a single-sweep forward-simulation without the need for recursively searching through negative times. We demonstrate this algorithm in the context of several examples. Keywords: Small sets; Regeneration; Coupling from the past; Reversible jump MCMC; Band-return data; Autoregressive time series

 

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