An Elementary Rigorous Introduction to Exact Sampling

Friedrich, F.; Winkler, Gerhard; Wittich, O.; Liebscher, V. (2003): An Elementary Rigorous Introduction to Exact Sampling. Collaborative Research Center 386, Discussion Paper 329

Abstract

We introduce coupling from the past, a recently developed method for exact sampling from a given distribution. Focus is on rigour and thorough proofs. We stay on an elementary level which requires little or no prior knowledge from probability theory. This should fill an obvious gap between innumerable intuitive and incomplete reviews, and few precise derivations on an abstract level.

• Item Type: Paper (Research Paper)
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English