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Explaining the Perfect Sampler

George Casella, Michael Lavine and Christian P. Robert
The American Statistician
Vol. 55, No. 4 (Nov., 2001), pp. 299-305
Stable URL: http://www.jstor.org/stable/2685691
Page Count: 7
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Explaining the Perfect Sampler
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Abstract

In 1996, Propp and Wilson introduced coupling from the past (CFTP), an algorithm for generating a sample from the exact stationary distribution of a Markov chain. In 1998, Fill proposed another so-called perfect sampling algorithm. These algorithms have enormous potential in Markov Chain Monte Carlo (MCMC) problems because they eliminate the need to monitor convergence and mixing of the chain. This article provides a brief introduction to the algorithms, with an emphasis on understanding rather than technical detail.

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