A general framework for perfect simulation of long memory processes

Emilio De Santis; Mauro Piccioni

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arXiv · 1004.0113

A general framework for perfect simulation of long memory processes

Emilio De Santis·Mauro Piccioni

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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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Emilio De Santis, Mauro Piccioni. 2010-04-01. A general framework for perfect simulation of long memory processes. https://arxiv.org/abs/1004.0113

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