[an error occurred while processing this directive] Seminar Abstract [an error occurred while processing this directive] [an error occurred while processing this directive] [an error occurred while processing this directive] Seminar Abstract[an error occurred while processing this directive]

Chris Jennison, Department of Statistics, University of Bath, UK
"Approximate exact sampling: towards the general application of Propp and Wilson's Algorithm."
Friday, July 14, 2000
Padelford C-301 at 3:30 P.M.

Abstract

Propp and Wilson's coupling from the past (CFTP) algorithm provides exact samples and, thus, an elegant alternative to convergence diagnostics for standard MCMC samplers. I shall explain how this method works and discuss some practicalities regarding its use in MCMC sampling.

Unfortunately the CFTP technique is only applicable when the distribution to be sampled possesses certain special properties. We propose a way to use the method's basic idea more generally and demonstrate that our algorithm works well in some quite challenging applications. Although our method is approximate, it comes with diagnostics to help assess and control the level of approximation.

[an error occurred while processing this directive] [an error occurred while processing this directive]