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Fill's Algorithm for Absolutely Continuous Stochastically Monotone Kernels
Markov chain Monte Carlo Fill's algorithm perfect sampling exact sampling rejection sampling partially ordered set monotone coupling
2009/4/29
Fill, Machida, Murdoch, and Rosenthal (2000) presented their algorithm and its variants to extend the perfect sampling algorithm of Fill (1998) to chains on continuous state spaces. We consider their ...
Optimising prediction error among completely monotone covariance sequences
Gaussian time series prediction error covariance sequences
2009/3/19
We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first m covariances specified. ...