Perfect simulation for locally continuous chains of infinite order

Autor(es)

Gallo, Sandro ^[1] ; Garcia, Nancy L. ^[2]

Afiliação do(s) autor(es)

^[1] Univ Fed Rio de Janeiro, Inst Matemat, BR-21941 Rio De Janeiro - Brazil

^[2] Univ Estadual Campinas, Inst Matemat Estat & Comp Cient, BR-13081970 Campinas, SP - Brazil

• Tipo de documento: Artigo Científico
• Fonte: Stochastic Processes and their Applications; v. 123, n. 11, p. 3877-3902, NOV 2013.
• Citações Web of Science: 2

Resumo

We establish sufficient conditions for perfect simulation of chains of infinite order on a countable alphabet. The new assumption, localized continuity, is formalized with the help of the notion of context trees, and includes the traditional continuous case, probabilistic context trees and discontinuous kernels. Since our assumptions are more refined than uniform continuity, our algorithms perfectly simulate continuous chains faster than the existing algorithms of the literature. We provide several illustrative examples. (c) 2013 Elsevier B.V. All rights reserved. (AU)

• Processo FAPESP: 09/09809-1 - Processos estocásticos com memória de alcance variável: Monge-Kantorovich, reamostragem e sistemas markovianos de partículas
• Beneficiário: Alexsandro Giacomo Grimbert Gallo
• Modalidade de apoio: Bolsas no Brasil - Pós-Doutorado