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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 1998-7
May 1998

Perfect simulation of conditionally specified models


Jesper Møller


We discuss how the ideas of producing perfect simulations based on coupling from the past for finite state space models naturally extend to multivariate distributions with infinite or uncountable state spaces such as auto-gamma, auto-Poisson and auto-negative-binomial models, using Gibbs sampling in combination with sandwiching methods originally introduced for perfect simulation of point processes.

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This paper has now been published in J. R. Stat. Soc. Ser. B Stat. Methodol. 61 (1999), no. 1, 251--264