Markov chain Monte Carlo | Monte Carlo methods

Coupling from the past

Among Markov chain Monte Carlo (MCMC) algorithms, coupling from the past is a method for sampling from the stationary distribution of a Markov chain. Contrary to many MCMC algorithms, coupling from the past gives in principle a perfect sample from the stationary distribution. It was invented by James Propp and in 1996. (Wikipedia).

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Related pages

Markov chain Monte Carlo | Sampling (statistics) | Cardinal number | Partially ordered set | Stationary distribution | Markov chain | Singleton (mathematics)